Abstract: Based on a two-level supply chain composed of a risk-averse retailer and a risk-neutral supplier, the paper takes the weighted average of conditional value at risk (CVaR) and expected profit as the retailer's objective function to study the ordering strategy and supply chain coordination under option contracts, and compares with the situation when the retailer takes CVaR as objective function. After giving the retailer's optimal ordering strategy at different risk aversion levels, the paper further derives the corresponding conditions of supply chain coordination, and analyzes the effects of option price, retailer' risk aversion and expected profit weight on the profits of both the retailer and the supplier. It is found that the effect of retailer's risk aversion on their profits is different from the situation when the retailer takes CVaR as objective function, but the option price still plays a role in distributing the profits of the whole supply chain. The conclusion that the increase of retailer's expected profit weight reduces his own profit and improves the supplier's profit is also derived. Finally, the above conclusions are verified by numerical simulation.

Key words: risk averse, profit-CVaR, option contracts, supply chain coordination

摘要： 文章以一个风险厌恶销售商与风险中性供应商所组成的两级供应链为背景,以条件风险价值(CVaR)和期望利润的加权平均作为销售商的决策目标,对期权契约下销售商的订购策略及供应链协调问题进行了研究,并对比分析了销售商以CVaR为目标时的情形。在给出销售商在不同风险厌恶程度下的最优订购策略后,文章进一步给出了供应链相应的协调条件,并分析了此时期权权利金,销售商的风险厌恶程度和期望利润权重等参数对供销双方收益的影响,发现“利润-CVaR”法下销售商的风险厌恶程度对供销双方利润的影响与CVaR法下的情况有所不同,但权利金依然起到了分配整体供应链利润的作用,且销售商期望利润权重的增加会降低自身收益水平而提高供应商利润。最后,文章通过数值模拟的方式对上述结论进行了验证。

关键词: 风险厌恶, 利润-CVaR, 期权契约, 供应链协调