Impact of Risk Aversion on Optimal Decisions in Markdown Money Contract

Operations Research and Management Science ›› 2013, Vol. 22 ›› Issue (2): 44-56.

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Impact of Risk Aversion on Optimal Decisions in Markdown Money Contract

WU An-bo^1~3, LI Gang^1~3, SUN Lin-yan^1~3, SUN Rong-ting⁴

1. School of Management, Xi'an Jiaotong University, Xi'an 710049, China;
2. The Key Lab of the Ministry of Education for Process Control and Efficiency Engineering, Xi'an 710049, China;
3. The State Key Lab for Manufacturing, Xi'an 710049, China;
4. School of Economics and Management, Chang'An University, Xi'an 710064, China

Received:2012-05-02 Online:2013-04-25

基于CVaR风险测度标准的价格补贴策略下的协调研究

吴安波^1~3, 李刚^1~3, 孙林岩^1~3, 孙荣庭⁴

1.西安交通大学管理学院,西安 710049;
2.过程控制与效率工程教育部重点实验室,西安 710049;
3.机械制造系统工程国家重点实验室,西安 710049;
4.长安大学经济与管理学院,西安 710064

作者简介:吴安波(1986-),女,陕西礼泉人,博士研究生,研究方向:供应链管理,先进制造战略与管理;李刚(1973-),男,陕西西安人,博士,副教授,研究方向:供应链管理,先进制造战略与管理;孙林岩(1955-),男,河北景县人,博士,教授,研究方向:先进制造战略与管理,人因工程;孙荣庭(1983-),男,甘肃平凉人,博士,讲师。研究方向:供应链管理。
基金资助:
国家自然科学基金资助项目(61174171);中央高校基本科研业务费专项资金资助项目(Sk2010034);西安市软科学基金资助项目(SF1012(1))

Abstract

Abstract: We consider a newsvendor problem in a supply chain that consists of a risk-neutral manufacturer as the Stackelberg leader and a risk-averse retailer as the follower. In a Conditional Value-at-Risk(CVaR)framework, we examine how the manufacturer contracts a wholesale-price agreement with its retailer that maximizes its profit. We also propose a markdown-money policy that can achieve supply chain coordination. We study the impact of the degree of risk aversion on the retailer's and manufacturer's optimal decisions. And we show how the manufacturer sets a markdown money contract, which enhances both profits of two parties and improves supply chain efficiency. Finally, we design numerical examples to verify the feasibility of the model and the theoretical analysis.

Key words: supply chain coordination, markdown money contract, CVaR, risk aversion

摘要： 基于条件风险值模型(CVaR),探讨了在一个风险中性制造商和一个风险规避零售商组成的制造商领导的斯塔克伯格博弈供应链中,制造商如何与风险规避零售商订立批发价契约以最大化其期望利润的问题。设计了价格补贴的契约协调机制,给出了该机制下风险规避程度对零售商和制造商最优决策的影响。证明了在一定的实施条件下,制造商通过设立价格补贴机制,可改善供应链双方利润与供应链效率。最后,用算例验证了模型和理论分析的可行性。

关键词: 供应链协调, 价格补贴, CVaR, 风险规避

CLC Number:

F224.3

WU An-bo, LI Gang, SUN Lin-yan, SUN Rong-ting. Impact of Risk Aversion on Optimal Decisions in Markdown Money Contract[J]. Operations Research and Management Science, 2013, 22(2): 44-56.

吴安波, 李刚, 孙林岩, 孙荣庭. 基于CVaR风险测度标准的价格补贴策略下的协调研究[J]. 运筹与管理, 2013, 22(2): 44-56.

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Impact of Risk Aversion on Optimal Decisions in Markdown Money Contract

基于CVaR风险测度标准的价格补贴策略下的协调研究

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