需求依赖库存时基于CVaR准则的报童模型

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• 英文论文题名：Newsvendor Model under Inventory-Dependent Demand and CVaR Criterion
• 论文作者：高婷 ; 叶涛锋 ; 陈福明
• 英文论文作者：GAO Ting ; YE Tao-feng ; CHEN Fu-ming ; School of Economics & Management ; Jiangsu University of Science and Technology
• 年：2016
• 作者机构：江苏科技大学经济管理学院;
• 论文关键词：库存水平影响需求 ; CVaR准则 ; 风险规避 ; 报童模型
• 英文论文关键词：inventory-dependent demand ; CVaR criterion ; risk-averse ; newsvendor
• 会议召开时间：2016-11-12
• 会议录名称：第十八届中国管理科学学术年会论文集
• 英文会议录名称：Proceedings of the 18th Chinese Annual Conference on Management Science
• 语种：中文
• 分类号：F274
• 学会代码：ZHYJ
• 会议名称：第十八届中国管理科学学术年会
• 会议地点：中国陕西西安
• 主办单位：中国优选法统筹法与经济数学研究会、西安交通大学、中国科学院科技战略咨询研究院、《中国管理科学》编辑部
• 学会名称：中国优选法统筹法与经济数学研究会
• 页数：7
• 文件大小：475k
• 原文格式：O
• 会议级别：全国

摘要

以往对于库存水平影响需求的研究主要是在假设零售商对于风险保持中立态度的基础之上开展的,而对于商品需求依赖于库存水平且零售商为风险规避型决策者的最优订货决策等相关问题未做深入探讨。本文针对需求依赖于库存水平下的风险规避型零售商的最优订货决策问题,将CVaR准则作为引入零售商风险规避系数的方法,结合需求为库存水平的幂函数形式,给出了有无缺货惩罚成本下的最优订货决策及其满足的条件,并进一步分析发现需求函数中的参数和最优订货量均呈正相关,而零售商的风险规避程度越大,最优订货量则越小。
Previous literature on inventory-dependent demand was based on the assumption that retailers were risk-neutral newsvendors,while they usually didn't analyze further risk-averse newsvendor's optimal ordering policy.As far as the risk-averse newsvendor's optimal policy with inventory-dependent demand is considered,in this paper risk-averse newsvendor's model is established based on CVaR criterion.Given that demand is a power function of stock level,optimal ordering decisions and necessary conditions they meet with and without shortage penalty costs.Finally,it is concluded that the optimal order quantity has a positive correlation with parameters in the demand function.Also,the optimal ordering quantity decreases as the degree of risk aversion of retailers growos.

引文

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