物流技术
物流技術
물류기술
Logistics Technology
2015年
10期
153-155
,共3页
期权契约%条件风险价值(CVaR)%风险中性%风险偏爱%供应链
期權契約%條件風險價值(CVaR)%風險中性%風險偏愛%供應鏈
기권계약%조건풍험개치(CVaR)%풍험중성%풍험편애%공응련
option contract%CVaR%risk-neutral%risk-seeking%supply chain
考虑由一个风险中性的供应商和一个风险偏爱的零售商组成的二级供应链系统，运用条件风险价值（CVaR）的方法描述零售商的风险偏爱，建立了期权契约的供应链契约模型，分别得出了风险中性条件下零售商的最优期权订货量和风险偏爱条件下的最优期权订货量以及二者的关系，并分析了风险中性条件下，期权订货量与期权价格、期权的执行价格以及零售商销售价格的关系，最后给出了在两种情况下，要想实现供应链协同的条件。
攷慮由一箇風險中性的供應商和一箇風險偏愛的零售商組成的二級供應鏈繫統，運用條件風險價值（CVaR）的方法描述零售商的風險偏愛，建立瞭期權契約的供應鏈契約模型，分彆得齣瞭風險中性條件下零售商的最優期權訂貨量和風險偏愛條件下的最優期權訂貨量以及二者的關繫，併分析瞭風險中性條件下，期權訂貨量與期權價格、期權的執行價格以及零售商銷售價格的關繫，最後給齣瞭在兩種情況下，要想實現供應鏈協同的條件。
고필유일개풍험중성적공응상화일개풍험편애적령수상조성적이급공응련계통，운용조건풍험개치（CVaR）적방법묘술령수상적풍험편애，건립료기권계약적공응련계약모형，분별득출료풍험중성조건하령수상적최우기권정화량화풍험편애조건하적최우기권정화량이급이자적관계，병분석료풍험중성조건하，기권정화량여기권개격、기권적집행개격이급령수상소수개격적관계，최후급출료재량충정황하，요상실현공응련협동적조건。
In this paper, we studied a two-echelon supply chain system composed by a risk-neutral supplier and a risk-seeking retailer, used the conditional value-at-risk (CVaR) process to describe the risk preference of the retailer, built the supply chain contract model based on the option contract and obtained the optimal optional ordering volume of the retailer under risk-neutral condition and risk-seeking condition respectively as well as the relationship between the two, further analyzed the relations between the optional ordering volume and the optional price, between the executive optional price and the selling price of the retailer, and at the end, presented the condition to realize the collaboration of the supply chain under the above-mentioned two conditions.
