基于CVaR模型的资金约束零售商期权订购策略研究

发布时间：2018-10-30 17:52

【摘要】：随着科技的发展和消费者喜好的变化,产品的市场需求不确定性越来越明显。而传统的供应链契约模式中,例如批发价契约,往往零售商更多地承担着这种需求不确定带来的风险。期权契约能提高订货弹性,因此被应用到企业订购策略中。在实际的运营过程中,零售商或多或少都会面临资金约束问题。以往的很多研究均假设零售商为风险中性,而资金约束零售商的融资过程伴随着融资成本,相应的运营风险也会增加,此时零售商很可能为风险规避,他们不仅关注可以获得的利润,还关注获得利润的可能性。因此,研究对于资金约束零售商在风险控制模型下如何利用期权契约进行订购具有现实意义。基于此,本文综合考虑期权契约、资金约束、风险规避态度对零售商订购决策的影响。主要从以下三方面进行研究:首先,建立批发价契约和期权契约下零售商的订购模型,将两者进行比较,探讨契约价格参数满足何种条件时,零售商才会考虑接受期权契约;分析期权是否有促进零售商多订购产品的作用。其次,在前面的基础上,考虑零售商资金约束问题,分别建立零售商未融资和融资两种情况下的订购决策模型,讨论是否有考虑零售商资金约束的必要以及融资是否对零售商一定有利。最后综合考虑零售商的风险规避程度问题对订购的影响,考虑零售商为风险规避,建立CVaR准则下零售商的订购模型,讨论零售商放弃期权订购的零界点,综合考虑融资利率以及风险规避程度对订购策略的影响。通过研究发现:(1)存在零售商放弃期权订购的零界点;(2)有探讨零售商存在资金约束的必要;但是对于不同的融资利率和自有资金,零售商融资后进行订购未必比在不融资的情况下有优势;(3)风险规避零售商的风险规避程度越高,期权契约下固定订购量、期权订购量以及批发价契约下订购量均越小,但是期权契约下总订购量大于批发价契约下订购量。虽然期权契约下零售商利润高于批发价契约下,但是优势在减小;随着融资利率的增加,零售商会增加期权契约下固定订购量而减小期权订购量。
[Abstract]:With the development of science and technology and the change of consumer preference, the uncertainty of product market demand is becoming more and more obvious. In the traditional supply chain contract mode, such as wholesale price contract, retailers often bear the risk of uncertain demand. Option contract can improve order flexibility, so it is applied to enterprise order strategy. In the actual operation process, retailers will more or less face the problem of financial constraints. Many previous studies have assumed that retailers are risk-neutral, and the financing process of financial constraints retailers with financing costs, the corresponding operational risks will also increase, retailers are likely to avoid the risk. They are concerned not only with the profits they can make, but also with the possibilities for them. Therefore, it is of practical significance to study how to use the option contract to order under the risk control model. Based on this, this paper considers the influence of option contract, capital constraint and risk aversion attitude on retailer's order decision. This paper mainly studies the following three aspects: firstly, the retailers' order models under the wholesale price contract and the option contract are established, and the two models are compared to discuss what conditions the contract price parameters satisfy before the retailer will consider accepting the option contract; Analyze whether the option has the function of promoting retailers to order more products. Secondly, on the basis of the above, considering the problem of retailer's capital constraint, the paper establishes the ordering decision model of the retailer under the condition of unfinancing and financing, respectively. Discuss whether it is necessary to consider the financial constraints of retailers and whether financing is beneficial to retailers. Finally, considering the influence of retailer's risk aversion degree on ordering, considering retailer's risk aversion, the retailer's ordering model under CVaR criterion is established, and the zero bound point of retailer's abandon option order is discussed. Comprehensive consideration of the financing interest rate and risk aversion degree on the order strategy. It is found that: (1) there is a zero boundary point for retailer to give up option order; (2) it is necessary to discuss the existence of financial constraints for retailers. However, for different financing interest rates and their own funds, retailers do not necessarily have an advantage in financing than in the case of non-financing; (3) the higher the risk aversion degree of the risk averse retailer, the smaller the fixed order quantity under the option contract, the less the option order quantity and the order quantity under the wholesale price contract, but the total order quantity under the option contract is larger than the order quantity under the wholesale price contract. Although the retailer's profit under the option contract is higher than that under the wholesale price contract, the advantage is decreasing; with the increase of the financing interest rate, the retail association increases the fixed order quantity under the option contract and reduces the option order quantity.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F274

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