考虑价格风险的供应链混合合约决策  

Supply Chain Decision-making Considering Price Risk Based on Hybrid Contract

作　　者：曾利飞[1] 王瑞 鲁其辉[2] ZENG Lifei;WANG Rui;LU Qihui(School of Finance,Zhejiang Gongshang University,Hangzhou 310018;School of Business Administration,Zhejiang Gongshang University,Hangzhou 310018,China)

机构地区：[1]浙江工商大学金融学院,浙江杭州310018 [2]浙江工商大学工商管理学院,浙江杭州310018

出　　处：《物流技术》2023年第3期92-97,共6页Logistics Technology

摘　　要：研究了一个由产业服务商、制造商和原材料供应商组成的供应链原材料价格风险管理博弈模型。在远期合约和期权合约的基础上,构建了综合远期和期权的混合合约策略。利用均值-方差度量了具有风险规避的产业服务商的效用函数,得到了制造商和产业服务商接受合约的条件。在单一远期合约、单一期权合约和混合合约模型下,比较了产业服务商的效用。通过数值分析,验证了混合合约策略和期货套期保值的优越性,并分析了期现货价格相关性对合约定价和效用的影响。结果表明,在满足特定条件的情况下,混合合约优于其他两种合约。数值分析结果表明,期货套期保值可以有效降低产业服务商面临的价格风险,实现供应链的价格风险管理。In this paper,we studied the raw material price risk management game model of a supply chain composing of an industrial service provider,a manufacturer and a raw material supplier.Next,we constructed a hybrid contract strategy that integrates forward contract and option contract.Then by measuring the utility function of the risk-averse industrial service provider using mean-variance,we obtained the conditions for the manufacturer and the industrial service provider to accept the hybrid contract,and compared the utility of the industrial service provider respectively under the forward contract alone,the option contract alone and the hybrid contract model.Through a numerical analysis,we verified the superiority of the hybrid contract strategy and futures hedging,and analyzed the impact of the correlation between forward price and spot price on the price and utility of the supply chain.The result shows that under certain conditions,the hybrid contract outperforms the other two contracts.The numerical analysis shows that futures hedging can effectively reduce the price risk faced by industrial service provider and facilitate the price risk management of the supply chain.

关 键 词：供应链 价格风险管理 均值方差 混合合约 期货套期保值 

分 类 号：F274[经济管理—企业管理]