|
|||||
|
|
| 期权契约中风险态度对最优决策的影响 | |
| 引用本文： | 王丽丽,张纪会,常天田,孙超.期权契约中风险态度对最优决策的影响[J].控制与决策,2012,27(8):1150-1156. |
| 作者姓名： | 王丽丽 张纪会 常天田 孙超 |
| 作者单位： | 1. 青岛大学复杂性科学研究所,山东青岛266071 青岛理工大学理学院,山东青岛266033 2. 青岛大学复杂性科学研究所,山东青岛,266071 |
| 基金项目： | 国家自然科学基金项目(70771052);山东省自然科学基金项目(ZR2010GM006) |
| 摘 要： | 考虑一个供应商与一个零售商组成的单一时段、单一产品的两层供应链模型.供应商提供基于期权的数量柔性契约,零售商将条件在险价值作为其风险度量准则.首先得到了零售商的初始订货量及期权购买量与风险厌恶程度之间的解析表达式,并分析了解的性质;然后通过数值实验分析了风险厌恶程度及各个系统参数对最优决策及最优利润的影响. |
| 关 键 词： | 供应链管理 风险厌恶 条件在险价值 契约 期权 |
| 收稿时间： | 2011/1/10 0:00:00 |
| 修稿时间： | 2011/4/14 0:00:00 |
Impact of risk attitude on optimal decisions in supply contracts with option |
|
| WANG Li-li,ZHANG Ji-hui,CHANG Tian-tian,SUN Chao.Impact of risk attitude on optimal decisions in supply contracts with option[J].Control and Decision,2012,27(8):1150-1156. |
|
| Authors: | WANG Li-li ZHANG Ji-hui CHANG Tian-tian SUN Chao |
| Affiliation: | 1(1.Complexity Science Institute,Qingdao University,Qingdao 266071,China;2.School of Science,Qingdao Technological University,Qingdao 266033,China.) |
| Abstract: | The concept of conditional value-at-risk(CVaR) is introduced as the evaluation criterion in a single period supply contract model with options.Firstly,the retailer’s optimal decisions are derived,and the results which characterize the explicit relationship between the degree of risk aversion and his decisions are obtained.Then numerical experiments are conducted to analyze the influence of the degree of risk aversion and other system parameters on the retailer’s decisions. |
| Keywords: | supply chain management risk aversion conditional value-at-risk supply contracts option |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |
| 点击此处可从《控制与决策》浏览原始摘要信息 | |
| 点击此处可从《控制与决策》下载全文 | |