需求风险下套期保值与市场进入分析

doi:10.12005/orms.2017.0018

运筹与管理 ›› 2017, Vol. 26 ›› Issue (1): 132-140.DOI: 10.12005/orms.2017.0018

需求风险下套期保值与市场进入分析

刘丰军¹, 邢伟², 裘江南¹, 赵娜³

1.大连理工大学管理与经济学部,辽宁大连116024;
2.曲阜师范大学管理学院,山东日照276826;
3.东南大学管理学院,江苏南京211189

收稿日期:2015-03-20 出版日期:2017-01-20
作者简介:刘丰军(1986-),男,博士生,研究方向:供应链管理,知识管理与数据挖掘;邢伟(1972-),男,博士,教授,硕士生导师,研究方向:供应链和电子商务。
基金资助:
国家自然科学基金资助项目(71471101,71101081);山东省自然科学基金重点项目(ZR2015GZ008);山东省社会科学规划资助项目(13CGLJ11) 作者简介:刘丰军(1986-),男,博士生,研究方向:供应链管理,知识管理与数据挖掘;邢伟(1972-),男,博士,教授,硕士生导师,研究方向:供应链和电子商务。需求风险下套期保值与市场进入分析刘丰军¹, 邢伟², 裘江南¹, 赵娜³(1.大连理工大学管理与经济学部,辽宁大连116024;2.曲阜师范大学管理学院,山东日照276826;3.东南大学管理学院,江苏南京211189)摘要:需求风险是企业面临的主要风险之一,对企业的生产经营和管理决策具有重要影响。本文考虑由多个风险厌恶企业构成的产品竞争市场,分析了需求风险下企业参与套期保值和市场进入的决策问题。文章首先通过Cournot博弈分析了套期保值对于规避需求风险的作用和意义;然后,探讨了企业参与套期保值和市场进入的决策过程,并给出了三种情形下的市场均衡结构;最后,通过数值实验对结论进行了验证。研究表明:套期保值提高了企业应对需求风险的能力,使企业获得更高的产量和收益;参与套期保值企业数量随着进入市场企业数量的增加而减少;当市场竞争程度或市场费用增加时,将会有更多的企业选择参与套期保值,而选择进入市场的企业会减少。

Analysis of Hedging and Market Entry under Demand Risk

LIU Feng-jun¹, XING Wei², QIU Jiang-nan¹, ZHAO Na³

1.Faculty of Management and Economics, Dalian University of Technology, Dalian 116024, China;
2.School of Management, Qufu Normal University, Rizhao 276826, China;
3.School of Economics and Management, Southeast University, Nanjing 211189, China

Received:2015-03-20 Online:2017-01-20

摘要/Abstract

摘要： 需求风险是企业面临的主要风险之一,对企业的生产经营和管理决策具有重要影响。本文考虑由多个风险厌恶企业构成的产品竞争市场,分析了需求风险下企业参与套期保值和市场进入的决策问题。文章首先通过Cournot博弈分析了套期保值对于规避需求风险的作用和意义;然后,探讨了企业参与套期保值和市场进入的决策过程,并给出了三种情形下的市场均衡结构;最后,通过数值实验对结论进行了验证。研究表明:套期保值提高了企业应对需求风险的能力,使企业获得更高的产量和收益;参与套期保值企业数量随着进入市场企业数量的增加而减少;当市场竞争程度或市场费用增加时,将会有更多的企业选择参与套期保值,而选择进入市场的企业会减少。

关键词: 套期保值, 需求风险, Cournot竞争, 市场进入

Abstract: Demand risk is one of the main risks faced by enterprises, which affects the production management and administrative decision of enterprises. This paper considers a product competition market consisting of multiple risk-averse enterprises, and analyses the decision-making problem about hedging and market entry. We first investigate the effect of hedging against the demand risk based on game theory. Then, we discuss the enterprises’ hedging and market entry strategies, and show three types of market equilibrium structures, respectively. Finally, we provide a numerical illustration to show our analytical results. Our study shows that hedging strategy may improve the enterprises’ ability to avoid the demand risk, which leads the enterprises to improve their outputs, and as a result, helps the firms achieve better performances. The number of enterprises with hedging strategy decreases in the total number of enterprises. When the degree of market competition or the market cost increases, there will be more enterprises choosing to adopt hedging strategy, and less choosing to enter the market.

Key words: hedging, demand risk, cournot competition, market entry

中图分类号:

F224.32

刘丰军, 邢伟, 裘江南, 赵娜. 需求风险下套期保值与市场进入分析[J]. 运筹与管理, 2017, 26(1): 132-140.

LIU Feng-jun, XING Wei, QIU Jiang-nan, ZHAO Na. Analysis of Hedging and Market Entry under Demand Risk[J]. Operations Research and Management Science, 2017, 26(1): 132-140.

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需求风险下套期保值与市场进入分析

Analysis of Hedging and Market Entry under Demand Risk

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