北京理工大学学报：社会科学版
北京理工大學學報：社會科學版
북경리공대학학보：사회과학판
Journal of Beijing Institute of Technology（Social Sciences Edition)
2011年
3期
46~50
,共null页
多产品 报童模型 预算 条件风险价值 二分搜索算法
多產品 報童模型 預算 條件風險價值 二分搜索算法
다산품 보동모형 예산 조건풍험개치 이분수색산법
multi-product; newsvendor; budget; condition value-at-risk; binary search algorithm
对条件风险价值（conditional value-at-risk,CVaR）准则下多产品报童模型进行研究。建立了以产品利润的CVaR值之和最大化为目标,具有预算约束的多产品报童模型。根据产品边际预算CVaR值的单调性,采用二分搜索算法对模型进行求解。应用算例分析零售商的预算与风险厌恶程度对最优订购策略的影响,得到结果：随着预算及风险厌恶程度的增加,零售商订购产品的种类增加;零售商的期望收益是风险厌恶程度的减函数。
對條件風險價值（conditional value-at-risk,CVaR）準則下多產品報童模型進行研究。建立瞭以產品利潤的CVaR值之和最大化為目標,具有預算約束的多產品報童模型。根據產品邊際預算CVaR值的單調性,採用二分搜索算法對模型進行求解。應用算例分析零售商的預算與風險厭噁程度對最優訂購策略的影響,得到結果：隨著預算及風險厭噁程度的增加,零售商訂購產品的種類增加;零售商的期望收益是風險厭噁程度的減函數。
대조건풍험개치（conditional value-at-risk,CVaR）준칙하다산품보동모형진행연구。건립료이산품리윤적CVaR치지화최대화위목표,구유예산약속적다산품보동모형。근거산품변제예산CVaR치적단조성,채용이분수색산법대모형진행구해。응용산례분석령수상적예산여풍험염악정도대최우정구책략적영향,득도결과：수착예산급풍험염악정도적증가,령수상정구산품적충류증가;령수상적기망수익시풍험염악정도적감함수。
The multi-product newsvendor problem based on the conditional value-at-risk（CVaR） is studied quantitatively.Firstly,to gain maximum the sum of CVaR of products＇ revenue,a multi-product newsvendor model with budget constraint was proposed.The marginal budget CVaR was non-decreasing in the order quantity.A binary search algorithm was developed.Finally,the effects of budget and risk aversion were analyzed through numerical example.The research results show that the greater the budget and risk aversion are,the more categories of products are ordered by the retailer;and the expected revenue of retailer is decreasing in the risk aversion.
