期权合约下基于CVaR的订单农业供应链协调研究  

Coordination of Order-agriculture Supply Chain Based on CVaR under Option Contract

作　　者：彭红军[1] 杨梦 PENG Hongjun;YANG Meng(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京210037

出　　处：《运筹与管理》2023年第3期131-136,共6页Operations Research and Management Science

基　　金：国家社科基金项目资助(17BGL236)。

摘　　要：在农产品价格随机波动背景下,以包含一个风险规避型农户和一个风险中性公司的订单农业供应链为研究对象,运用条件风险价值(CVaR)准则研究订单农业供应链最优策略与协调问题。研究结果表明,分散决策情形下的农产品产量和决策双方总收益均低于集中决策情形。对此,在订单农业供应链中引入期权合约,研究发现当农户风险规避程度不很低时,期权合约能够促使农户与公司均实现帕累托改进,并且在期权合约下,农户可通过行权应对农产品价格波动风险,保证农产品产量和自身收益不受风险规避行为的影响;进一步研究表明,当农户风险规避程度较高时,期权合约能够实现订单农业供应链的完美协调。The order-agriculture has the advantages of reducing the risk of supply chain,promoting the modern agricultural machinery equipment application,improving agricultural production,reducing planting cost,improving farmers’market participation.However,the order-agriculture has many problems in practical application,the low performance rate is especially prominent.Reducing the default rate become the key to the healthy development of agriculture in the future.Option contract is an effective tool to improve the cooperation of supply chain members and avoid the risk of market price fluctuation.Introducing option contract in the order-agriculture supply chain is a powerful measure to improve the performance rate of the supply chain.This paper considers an order-agriculture supply chain with a risk averse farmer and a risk neutral company under the random fluctuation of agricultural product prices.Based on the conditional value at risk(CVaR),we establish Stackelberg game model to study the optimal strategy and coordination of the supply chain.Firstly,we analyze the optimal production quantity decision of the farmer under the decentralized case.Secondly,we analyze the optimal production quantity decision of the order-agriculture supply chain under the centralized case,and compare it with the decentralized decision.Then,the option contract is introduced to analyze the coordination conditions of the order-agricultural supply chain and the pareto improvement range.Finally,the theorems and inferences are verified through numerical analysis.The results show that,the production quantity and total benefits of both parties in the decentralized decision are lower than those in the centralized decision.With the risk aversion of the farmer,the production quantity and the benefit of the whole supply chain both reduce,and the higher the farmer’s risk aversion,the lower the production quantity and benefits of both members.After the introduction of the option contract,when the option execution price is low,the production quantity and

关 键 词：订单农业供应链 期权合约 风险规避 随机市场价格 

分 类 号：F326.25[经济管理—产业经济]