| CVaR约束的钢铁企业贵金属原料采购研究 |
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| 引用本文： | 颜勤江,李庆予,奚立峰. CVaR约束的钢铁企业贵金属原料采购研究[J]. 工业工程与管理, 2009, 14(3) |
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| 作者姓名： | 颜勤江 李庆予 奚立峰 |
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| 作者单位： | 上海交通大学机械与动力工程学院,上海,200240;宝山资源有限公司,上海,200240 |
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| 摘 要： | 大型钢铁企业贵金属原料采购的风险是多方面的,但原料本身价格的剧烈波动是最主要的因素之一.为了更好控制贵金属原料价格剧烈波动导致的采购风险,提出把每种贵金属原料看作一个投资工具,引入金融领域的CVaR工具,并针对原料采购领域加以改进,以原料采购期望收益和风险防范联合优化为目标,构建一个基于风险约束的决策模型,研究贵金属原料采购策略.最后以某大型钢铁企业具体实例对所构建的模型优越性进行了验证.
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| 关 键 词： | 条件在险值 风险控制 贵金属 原料采购 |
Study on Purchase Strategy of Precious Metal Raw Material in the Large Steel Enterprise Based on Constraint of CVaR |
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| YAN Qin-jiang,LI Qing-yu,XI Li-feng. Study on Purchase Strategy of Precious Metal Raw Material in the Large Steel Enterprise Based on Constraint of CVaR[J]. Industrial Engineering and Management, 2009, 14(3) |
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| Authors: | YAN Qin-jiang LI Qing-yu XI Li-feng |
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| Affiliation: | 1.School of Mechanical Engineering;Shanghai Jiaotong University;Shanghai 200240;China;2.Baoshan Iron & Steel Co.;Ltd.;China |
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| Abstract: | The factors causing the risk of purchasing process of precious metal raw material in large steel enterprise were various,but the drastic price fluctuation of itself was one of the main reasons.To control the purchasing risk caused by the drastic price fluctuation of precious metal raw material more effectively,each kind of precious metal raw material was regarded as a financial investment tool.Then,a financial tool so called Conditional Value at Risk(CVaR) was introduced and improved to construct a decision... |
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| Keywords: | CVaR risk control raw material purchasing precious metal |
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