Impact of risk aversion on optimal decisions in supply contracts

被引：69
作者：
Wu, Jun [1 ]
Wang, Shouyang [2 ]
Chao, Xiuli [3 ]
Ng, C. T. [4 ]
Cheng, T. C. E. [1 ,4 ]
机构：
[1] Beijing Univ Posts & Telecommun, Sch Econ & Management, Beijing 100876, Peoples R China
[2] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
[3] Univ Michigan, Dept Ind & Operat Engn, Ann Arbor, MI 48109 USA
[4] Hong Kong Polytech Univ, Dept Logist & Maritime Studies, Kowloon, Hong Kong, Peoples R China
来源：
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS | 2010年 / 128卷 / 02期
基金：
美国国家科学基金会;
关键词：
Supply chain management; Risk analysis; Conditional value-at-risk; VALUE-AT-RISK; COORDINATION; OPTIMIZATION; CHAINS;
D O I：
10.1016/j.ijpe.2010.04.049
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We introduce the concept of conditional value-at-risk as the evaluation criterion in a supply contract model. We first derive the manufacturer's optimal decisions and then analyze the impact of risk aversion on the manufacturer's decisions. We follow by conducting numerical experiments to observe how the manufacturer's risk attitude affects his decisions. We obtain results that characterize the explicit relationship between the manufacturer's risk attitude and his optimal decisions. We also show the dependence of the decision variables on the price and cost parameters, which is seldom given in the literature. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：569 / 576
页数：8
相关论文
共 38 条
  • [1] Agrawal V., 2000, Manufacturing & Service Operations Management, V2, P410, DOI 10.1287/msom.2.4.410.12339
  • [2] Agrawal V, 2000, IIE TRANS, V32, P819, DOI 10.1080/07408170008967441
  • [3] Coherent risk measures in inventory problems
    Ahmed, Shabbir
    Cakmak, Ulas
    Shapiro, Alexander
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2007, 182 (01) : 226 - 238
  • [4] [Anonymous], 2002, PORTFOLIO SELECTION
  • [5] [Anonymous], 2003, SUPPLY CHAIN DECISIO
  • [6] [Anonymous], PROBABILISTIC CONSTR
  • [7] Shortfall as a risk measure: properties, optimization and applications
    Bertsimas, D
    Lauprete, GJ
    Samarov, A
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2004, 28 (07) : 1353 - 1381
  • [8] Financial management in inventory problems: Risk averse vs risk neutral policies
    Borgonovo, E.
    Peccati, L.
    [J]. INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2009, 118 (01) : 233 - 242
  • [9] INVENTORY CONTROL WITH AN EXPONENTIAL UTILITY CRITERION
    BOUAKIZ, M
    SOBEL, MJ
    [J]. OPERATIONS RESEARCH, 1992, 40 (03) : 603 - 608
  • [10] BROWN A, 2003, STOCHASTIC MODELING, pCH12
1234