本文關(guān)鍵詞： 混合條件風(fēng)險(xiǎn)價(jià)值 隨機(jī)比較 需求依賴價(jià)格 供應(yīng)鏈協(xié)調(diào)　出處：《北京工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：科學(xué)技術(shù)的飛速發(fā)展和經(jīng)濟(jì)全球化使得企業(yè)面臨的競(jìng)爭(zhēng)環(huán)境更加復(fù)雜多變，同時(shí)也使得企業(yè)之間的競(jìng)爭(zhēng)更加激烈。當(dāng)代商業(yè)競(jìng)爭(zhēng)已不再是企業(yè)和企業(yè)之間的競(jìng)爭(zhēng)，而是供應(yīng)鏈和供應(yīng)鏈之間的競(jìng)爭(zhēng)。企業(yè)之間通過(guò)協(xié)調(diào)契約來(lái)滿足不確定的市場(chǎng)需求，從而保證供應(yīng)鏈中各成員利潤(rùn)之和等于整合供應(yīng)鏈最優(yōu)時(shí)的供應(yīng)鏈利潤(rùn)已成為了供應(yīng)鏈管理的重要手段。同時(shí)在實(shí)踐中，市場(chǎng)需求不確定和供應(yīng)不確定性往往使企業(yè)的收益具有風(fēng)險(xiǎn)性，并且不同的企業(yè)對(duì)風(fēng)險(xiǎn)的態(tài)度也不同，大部分企業(yè)因?yàn)楹ε嘛L(fēng)險(xiǎn)而選擇規(guī)避風(fēng)險(xiǎn)的行為，同時(shí)也有一部分企業(yè)經(jīng)營(yíng)者認(rèn)為風(fēng)險(xiǎn)越大收益也越大而追求風(fēng)險(xiǎn)。只有搞清楚風(fēng)險(xiǎn)偏好和市場(chǎng)不確定性對(duì)系統(tǒng)決策和收益的影響，才可能更好地實(shí)現(xiàn)企業(yè)運(yùn)營(yíng)的目標(biāo)，提高企業(yè)的運(yùn)作效率，因此有必要采用混合條件風(fēng)險(xiǎn)價(jià)值準(zhǔn)則來(lái)研究需求不確定性對(duì)庫(kù)存與供應(yīng)鏈系統(tǒng)的影響。 本文基于混合條件風(fēng)險(xiǎn)價(jià)值（CVaR）準(zhǔn)則，運(yùn)用應(yīng)用概率中隨機(jī)占優(yōu)研究了具有一般隨機(jī)需求和需求依賴價(jià)格的報(bào)童問(wèn)題和供應(yīng)鏈協(xié)調(diào)問(wèn)題�；旌螩VaR是由最小化CVaR和最大化CVaR通過(guò)加權(quán)平均的方式得到的，它包括風(fēng)險(xiǎn)規(guī)避、風(fēng)險(xiǎn)中性和風(fēng)險(xiǎn)追求三種特殊情形，并引入一個(gè)刻畫決策者風(fēng)險(xiǎn)態(tài)度的“風(fēng)險(xiǎn)偏好系數(shù)”。首先對(duì)于一般隨機(jī)需求報(bào)童模型，在混合條件風(fēng)險(xiǎn)價(jià)值準(zhǔn)則約束下，分別從經(jīng)典報(bào)童模型和允許緊急訂貨報(bào)童模型兩個(gè)角度給出了系統(tǒng)的最優(yōu)訂貨量和最優(yōu)利潤(rùn)的表達(dá)式，分析了風(fēng)險(xiǎn)偏好和需求不確定性對(duì)系統(tǒng)的影響：在兩種報(bào)童模型中隨機(jī)需求越大系統(tǒng)的最優(yōu)訂購(gòu)量和最優(yōu)利潤(rùn)就越大；在割準(zhǔn)則序意義下需求可變性可能導(dǎo)致較高的最優(yōu)訂購(gòu)量也可能導(dǎo)致較低的最優(yōu)訂購(gòu)量；當(dāng)風(fēng)險(xiǎn)偏好系數(shù)大于1時(shí)在二階隨機(jī)占優(yōu)下系統(tǒng)最優(yōu)利潤(rùn)具有隨機(jī)單調(diào)性。其次，對(duì)于需求依賴價(jià)格且允許緊急訂貨的報(bào)童模型，給出了系統(tǒng)最優(yōu)價(jià)格存在的充分條件和系統(tǒng)最優(yōu)訂購(gòu)量與最優(yōu)利潤(rùn)的解析表達(dá)式，進(jìn)一步，利用隨機(jī)比較方法分別從加法和乘法需求模型兩個(gè)角度，研究了需求隨機(jī)大和可變性對(duì)系統(tǒng)最優(yōu)價(jià)格，最優(yōu)訂購(gòu)量和最優(yōu)利潤(rùn)的影響。最后，研究了由風(fēng)險(xiǎn)中性供應(yīng)商和混合條件風(fēng)險(xiǎn)價(jià)值約束零售商組成具有一般需求的供應(yīng)鏈系統(tǒng)，，證明在批發(fā)價(jià)契約，收益共享契約和回購(gòu)契約下零售商的最優(yōu)訂貨量和利潤(rùn)隨風(fēng)險(xiǎn)偏好系數(shù)的增加而減�。划�(dāng)風(fēng)險(xiǎn)偏好系數(shù)小于1即零售商為風(fēng)險(xiǎn)追求型時(shí)，批發(fā)價(jià)契約能實(shí)現(xiàn)供應(yīng)鏈協(xié)調(diào)；無(wú)論風(fēng)險(xiǎn)偏好系數(shù)大于等于1或小于1，回購(gòu)契約和收益共享契約均能實(shí)現(xiàn)供應(yīng)鏈協(xié)調(diào)。證明在收益共享契約下，隨機(jī)大需求導(dǎo)致較高的零售商最優(yōu)利潤(rùn)；當(dāng)風(fēng)險(xiǎn)偏好系數(shù)大于或等于1時(shí)，零售商最優(yōu)利潤(rùn)隨需求可變性的增加而減少，這與直觀看法一致。回購(gòu)契約供應(yīng)鏈模型有類似的結(jié)論。同時(shí)給出相應(yīng)的數(shù)值例子驗(yàn)證獲得的結(jié)果。
[Abstract]:The rapid development of science and technology and economic globalization makes enterprises face more complicated competition environment, but also makes more intense competition among enterprises. Contemporary commercial competition is no longer the competition between enterprise and enterprise, but between supply chain and supply chain competition between enterprises. To meet the uncertain market demand through the contract. In order to ensure the supply chain members and the profit is equal to the optimal integration of supply chain profit of supply chain has become an important means of supply chain management. At the same time, in practice, the uncertain demand and supply uncertainty makes the enterprise profit risk, and enterprises of different attitudes to risk are different, most because of fear of risk and enterprise risk averse behavior, but also a part of the enterprise operators believe that higher risk for more earnings and risk seeking. Only make clear the uncertainty of risk preference and market impact on decision-making system and benefits, it may be better to achieve the goal of business operations, improve the operation efficiency of enterprises, it is necessary to research the demand uncertainty on inventory and supply chain system by using mixed effects of conditional value at risk criteria.
The hybrid based on conditional value at risk (CVaR) criterion, application of probability in stochastic dominance of general stochastic demand and price dependent demand newsboy problem and supply chain coordination problems. Hybrid CVaR is obtained by minimizing CVaR and maximizing the CVaR by weighted average method, which includes risk aversion, risk neutral and risk seeking three special cases, and the introduction of a characterization of the risk attitude of decision-maker "risk preference coefficient". Firstly, for general stochastic demand newsboy model, in the mixed condition risk value criterion constraint, respectively from two angles the classical newsboy model and allow the emergency order newsboy model given the optimal order quantity and optimal profit of the system analysis of the uncertainty of risk preference, and demand the influence on the system: the order quantity and the optimal two random newsboy model in greater demand system The optimal profit is higher; under cut criterion order demand variability may lead to higher optimal order quantity may also lead to the optimal lower order quantity; when the risk preference coefficient is greater than 1 in the two order stochastic dominance under the profit system with stochastic monotonicity. Secondly, demand for depends on the price and permit the newsboy model emergency orders, analytical expressions, sufficient conditions for the existence of optimal price and optimal order quantity and optimal profit is given further, using stochastic comparison method respectively from two angles of additive and multiplicative demand model, studied the stochastic demand and price variability on optimal system, affect the optimal order quantity and optimal profit finally. The study, with a risk neutral supplier and mixed conditional value at risk constraint retailer supply chain system with general demand, in the wholesale price contract, revenue The optimal order quantity and profit sharing increases the risk preference coefficient of retailer contract and buyback contract under decreases; when the risk preference coefficient is less than 1 retail risk seeking, wholesale price contract can achieve supply chain coordination; both the risk preference coefficient is equal to or greater than 1 or less than 1, buyback contract and revenue contract can be achieved supply chain coordination sharing. It was found that the revenue sharing contract under stochastic demand leads to large retailers optimal high profit; when the risk preference coefficient is greater than or equal to 1, the profit increase with the demand of retailers to reduce this variability, and intuitively agree. The buyback contract of supply chain model has the similar conclusion. Numerical examples verify at the same time, the corresponding results obtained.

【學(xué)位授予單位】：北京工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F274;F224

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