本文關(guān)鍵詞： 陜西蘋(píng)果供應(yīng)鏈 價(jià)格風(fēng)險(xiǎn) 投資組合理論 VaR風(fēng)險(xiǎn)價(jià)值法 風(fēng)險(xiǎn)管理　出處：《西北農(nóng)林科技大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：在我國(guó)蘋(píng)果是第一大果品產(chǎn)業(yè)。陜西作為全國(guó)蘋(píng)果優(yōu)生區(qū)，蘋(píng)果業(yè)是陜西省六大支柱產(chǎn)業(yè)之一，是重點(diǎn)發(fā)展對(duì)象。陜西蘋(píng)果產(chǎn)業(yè)除了滿(mǎn)足居民高品質(zhì)消費(fèi)的需求外也促進(jìn)果農(nóng)收入的提高，推重陜西經(jīng)濟(jì)發(fā)展。在陜西蘋(píng)果產(chǎn)業(yè)發(fā)展過(guò)程中，也逐漸顯現(xiàn)各種問(wèn)題。蘋(píng)果供應(yīng)鏈中，蘋(píng)果價(jià)格直接影響供應(yīng)鏈各主體的利潤(rùn)和成本。農(nóng)戶(hù)的田間銷(xiāo)售價(jià)格和市場(chǎng)零售價(jià)格有較大差異。陜西蘋(píng)果供應(yīng)鏈價(jià)格波動(dòng)給整個(gè)供應(yīng)鏈和供應(yīng)商消費(fèi)者都帶來(lái)很大風(fēng)險(xiǎn)。為實(shí)現(xiàn)陜西蘋(píng)果產(chǎn)業(yè)健康、穩(wěn)定和持續(xù)的發(fā)展，必須對(duì)蘋(píng)果供應(yīng)鏈中存在的問(wèn)題和價(jià)格風(fēng)險(xiǎn)進(jìn)行探索，優(yōu)化陜西蘋(píng)果供應(yīng)鏈，降低陜西蘋(píng)果供應(yīng)和銷(xiāo)售中的價(jià)格風(fēng)險(xiǎn)。 本文通過(guò)介紹陜西蘋(píng)果供應(yīng)鏈的現(xiàn)狀和特點(diǎn)，存在的風(fēng)險(xiǎn)和問(wèn)題。闡述了陜西蘋(píng)果供應(yīng)鏈價(jià)格風(fēng)險(xiǎn)的成因和影響，進(jìn)一步探索陜西蘋(píng)果供應(yīng)鏈價(jià)格風(fēng)險(xiǎn)管理的方法：訂單農(nóng)業(yè)，農(nóng)超對(duì)接，陜西蘋(píng)果品牌打造，建設(shè)供應(yīng)鏈中關(guān)鍵環(huán)節(jié)。文中在研究陜西蘋(píng)果在全國(guó)供應(yīng)中的資源合理配置以降低供應(yīng)商風(fēng)險(xiǎn)中嘗試使用資產(chǎn)組合理論，對(duì)供應(yīng)價(jià)格風(fēng)險(xiǎn)衡量和控制進(jìn)行實(shí)證分析，探究投資組合理論在降低蘋(píng)果供應(yīng)鏈價(jià)格風(fēng)險(xiǎn)中的可行性和有效性。并將均值方差模型和半方差模型實(shí)證結(jié)果對(duì)比分析，研究各自在風(fēng)險(xiǎn)衡量和控制中的適用性和優(yōu)缺點(diǎn)。在評(píng)估陜西蘋(píng)果供應(yīng)鏈具體的零售市場(chǎng)價(jià)格風(fēng)險(xiǎn)時(shí)，選取西安人人樂(lè)超市和人人家超市，通過(guò)VaR風(fēng)險(xiǎn)價(jià)值法對(duì)其市場(chǎng)價(jià)格波動(dòng)風(fēng)險(xiǎn)進(jìn)行度量，并計(jì)算其風(fēng)險(xiǎn)發(fā)生的頻率，進(jìn)而分析特定市場(chǎng)的蘋(píng)果價(jià)格風(fēng)險(xiǎn)及特點(diǎn)。 通過(guò)以上研究發(fā)現(xiàn)： （1）陜西蘋(píng)果供應(yīng)商可以通過(guò)合理配置供應(yīng)量來(lái)減少供應(yīng)價(jià)格風(fēng)險(xiǎn)，提高預(yù)期收益、供應(yīng)鏈效率和穩(wěn)定度。通過(guò)均值方差模型或者半方差模型去優(yōu)化組合，都可以顯著降低蘋(píng)果銷(xiāo)售價(jià)格風(fēng)險(xiǎn)。投資組合理論的定量分析方法在衡量和規(guī)避蘋(píng)果供應(yīng)鏈價(jià)格風(fēng)險(xiǎn)中切實(shí)可行，為供應(yīng)鏈價(jià)格風(fēng)險(xiǎn)管理提供定量分析的思路和有效方法。 （2）通過(guò)均值方差模型、半方差模型兩種方法實(shí)證結(jié)果的對(duì)比分析，得出兩種模型在陜西蘋(píng)果供應(yīng)價(jià)格風(fēng)險(xiǎn)管理中不同的適用性和優(yōu)缺點(diǎn)：均值方差模型降低方差值提高了整個(gè)組合收益的穩(wěn)定度，卻降低了供應(yīng)商收益；收益率呈正態(tài)分布的假定，大大局限了模型運(yùn)用的廣泛性。但因?yàn)槭前磧r(jià)格波動(dòng)最小規(guī)劃，對(duì)市場(chǎng)、消費(fèi)者都是有利的。半方差模型無(wú)正態(tài)分布假定，適用范圍廣；且符合供應(yīng)商心里，分散價(jià)格向下風(fēng)險(xiǎn)，最大程度提高預(yù)期收益。但同時(shí)具有局限性，價(jià)格向下的波動(dòng)也是市場(chǎng)風(fēng)險(xiǎn)，，會(huì)帶來(lái)市場(chǎng)的不健康，供應(yīng)鏈的不穩(wěn)定，消費(fèi)者利益受損。 （3）通過(guò)運(yùn)用VaR風(fēng)險(xiǎn)價(jià)值法對(duì)西安市兩大超市蘋(píng)果價(jià)格波動(dòng)風(fēng)險(xiǎn)進(jìn)行測(cè)量和評(píng)估的實(shí)證研究，可以測(cè)算出超市下個(gè)月度蘋(píng)果價(jià)格波動(dòng)風(fēng)險(xiǎn)方向和大小，風(fēng)險(xiǎn)發(fā)生頻率。VaR方法在蘋(píng)果供應(yīng)鏈終端零售市場(chǎng)價(jià)格風(fēng)險(xiǎn)評(píng)估和有效度量方面是可行的�？紤]了不同程度風(fēng)險(xiǎn)的發(fā)生概率,對(duì)價(jià)格風(fēng)險(xiǎn)的度量結(jié)果更為準(zhǔn)確,同時(shí)又將全部風(fēng)險(xiǎn)概括為一個(gè)數(shù)字后方便不同市場(chǎng)間風(fēng)險(xiǎn)比較和管理。
[Abstract]:In China, apple is the largest fruit industry. Shaanxi as the country's eugenic apple, apple industry in Shaanxi province is one of the six pillar industries, is the focus of development. Shaanxi apple industry in addition to meet the consumer demand for high-quality residents also promote the farmers income increase in Shaanxi's economic development. In the process of the development of apple industry in Shaanxi. Also gradually revealed various problems. Apple's supply chain, apple prices directly affect the supply chain's profit and cost. The farmers field sales prices and retail prices are quite different. Shaanxi Apple's supply chain price fluctuations have brought great risk to the whole supply chain and suppliers to consumers. In order to achieve healthy and stable Shaanxi apple industry. Sustainable development, must be on the existing problems in Apple's supply chain and price risk exploration and optimization of Shaanxi Apple's supply chain, reduce supply and Shaanxi apple Price risk in sales.
This paper introduces the status and characteristics of Shaanxi Apple's supply chain, risks and problems. Expounds the cause and influence of Shaanxi Apple's supply chain price risk, to further explore the method of Shaanxi Apple's supply chain price risk management: order agriculture, agricultural super docking, Shaanxi Apple brand, the key link in the supply chain of the construction. In the rational allocation of resources of Shaanxi apple in the national supply in order to reduce the supplier risk in trying to use the asset portfolio theory, the supply price risk measure and control for empirical analysis, explore investment portfolio theory in the feasibility of reducing the price risk in Apple's supply chain and effective. And a comparative analysis of the mean variance model and semi variance the empirical results of each model, the risk measure and control the applicability and advantages and disadvantages. In the evaluation of Shaanxi apple supply chain specific retail market price Risk, select all supermarkets in Xi'an and others on the supermarket, the fluctuation of market price risk measurement by VaR risk value method, and calculate the risk frequency, apple price risks and characteristics and analysis of specific markets.
Through the above research, it is found that:
(1) Shaanxi Apple suppliers to reduce the supply price risk through the rational allocation of supply, improve the expected return, supply chain efficiency and stability. The mean variance model or semi variance model to optimize the combination can significantly reduce the apple sales price risk. The quantitative analysis method of portfolio theory in measure and to avoid the apple supply chain the price risk is feasible, provide quantitative analysis and effective way for the supply chain price risk management.
(2) the mean variance model, semi variance model comparative analysis of two methods of empirical results, obtained two different models in the supply price risk management of Shaanxi apple in the applicability and advantages and disadvantages: the mean variance model reduces the variance value to improve the stability of the whole portfolio, but reduced revenue yield positively; the normal distribution assumption, greatly limits the widespread use of the model. But because it is the minimum price fluctuation according to the planning, on the market, consumers are favorable. The semi variance model without the normal distribution assumption, wide application range; and in conformity with the supplier heart, scattered downward price risk and maximize the expected return but at the same time. Has the limitation, downward price fluctuations and market risk, not health will bring to the market, the supply chain is not stable, damaged the interests of consumers.
(3) through the empirical study of the measurement and assessment of Xi'an city supermarket apple price volatility risk using the VaR risk value method, can calculate the supermarket next month apple price volatility risk direction and the size of the risk of occurrence frequency of.VaR method in Apple's supply chain terminal retail market price risk assessment and effective measure is feasible. Considering the probability of the different degrees of risk, the price risk measurement results are more accurate, and all risks summed up as a number of different markets and convenient risk management.

【學(xué)位授予單位】：西北農(nóng)林科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F323.7;F326.13

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