基于期权契约模型的风险厌恶供应链的决策与协调

发布时间：2018-10-26 06:42

【摘要】：随着当今经济及市场环境的快速发展变化,对供应链系统的风险决策与协调问题的研究不仅具有重要的理论意义,同时也具有重要的实用价值。本文基于柔性期权契约模型,以条件在险价值和效用函数等风险度量准则作为研究工具,对含风险厌恶型决策者供应链的决策及契约协调问题做了比较深入的研究,论文的主要研究成果如下： 1.研究了单向看涨期权契约下风险厌恶零售商的最优订货问题。利用条件在险价值工具,构造了基于风险厌恶零售商利润函数的目标函数,给出了风险厌恶零售商的初始订货量及期权购买量的公式,并与批发价格契约下零售商的最优利润做了比较。算例分析进一步讨论了不同的系统参数及风险厌恶态度对零售商的订货决策及利润的影响。该模型引入了风险厌恶程度,风险中性模型是我们模型的特例；另一方面,该方法与其他风险度量方法相比,具有较好的数学性质,使得证明与计算过程简单明了。 2.针对允许向上和向下调整初始订货量的双向期权契约,给出了条件在险价值方法下风险厌恶零售商的最优订货决策联立方程组。由于购买双向期权相当于同时购买了一个看涨期权和看跌期权,增加了零售商订货的柔性空间,也使订货决策的求解变得复杂。文中仅在需求是均匀分布时,得出了初始订货量及期权购买量的解析表达式,并进行了算例分析。文中通过采用条件在险价值,将供应链双向期权契约下零售商的订货决策问题由风险中性模型推广至风险厌恶模型；算例分析可为零售商提供有价值的参考信息,尤其是期权执行价格的变化对其订货及利润的影响。 3.研究了由风险中性制造商和零售商组成的供应链的协调问题。通过分析批发价格契约与看涨期权契约下制造商的生产策略与零售商的订货决策,获得了使供应链整体利润获得最优并且双方均同意实施的协调期权契约集合。在这里需要指出的是,本文假设制造商可以推测市场需求,并按自己利益最大化决定生产策略,然后再根据零售商的订货策略讨论供应链的协调问题,提高了供应链的运作效率。另外,考虑到市场需求的不确定性,数值算例中讨论了需求为均匀分布和正态分布两种分布下的决策信息,验证了期权契约集合的有效性。 4.针对柔性看涨期权契约下考虑了成员风险厌恶态度及协商权力的供应链协调及利润分配问题做了进一步的研究。文中采用合作博弈理论研究契约的实施问题,当仅考虑风险厌恶程度对双方所分利润的影响时采用Nash讨价还价模型,当同时考虑双方的风险厌恶程度及相对协商权力对各自所分配利润的影响时采取了Eliashberg模型,更符合供应链的实际运作过程。具体例子说明了离散效用函数在供应链协调契约参数及利润分配比例计算方面的优越性。
[Abstract]:With the rapid development of economy and market environment, the study of risk decision and coordination in supply chain system is not only of great theoretical significance, but also of practical value. Based on the flexible option contract model and the risk measurement criteria such as conditional risk value and utility function, this paper makes a deep research on the decision making and contract coordination of the supply chain with risk-averse decision makers. The main research results are as follows: 1. The optimal ordering problem of risk-averse retailers under one-way call option contract is studied. The objective function based on the profit function of the risk-averse retailer is constructed by using the conditional in risk value tool, and the formulas of the initial order quantity and the option purchase amount of the risk-averse retailer are given. And compared with the optimal profit of the retailer under the wholesale price contract. The effects of different system parameters and risk aversion attitude on the ordering decision and profit of retailers are discussed. The model introduces the degree of risk aversion, and the risk-neutral model is the special case of our model. On the other hand, compared with other risk measurement methods, this method has better mathematical properties and makes the process of proof and calculation simple and clear. 2. In this paper, the optimal ordering decision simultaneous equations of the risk averse retailer under the condition of risk value method are given for the bi-directional option contract that allows the initial order quantity to be adjusted up and down. The purchase of bi-directional options is equivalent to buying a call option and a put option at the same time, which increases the flexibility of the retailer's order, and makes the solution of ordering decision more complicated. When demand is uniformly distributed, the analytical expressions of initial order quantity and option purchase amount are obtained, and an example is given. In this paper, the order decision problem of retailers under supply chain two-way option contract is extended from risk neutral model to risk aversion model by using condition at risk value. The example analysis can provide valuable reference information for retailers, especially the influence of the change of option execution price on their order and profit. 3. The coordination problem of supply chain composed of risk-neutral manufacturer and retailer is studied. By analyzing the manufacturer's production strategy and the retailer's order decision under the wholesale price contract and call option contract, a set of coordinated options contracts is obtained, which makes the overall profit of the supply chain optimal and both sides agree to implement the contract. It is important to point out here that this paper assumes that manufacturers can speculate on market demand and determine production strategy according to their own profit maximization, and then discuss the coordination of supply chain according to retailer's order policy. Improved the efficiency of supply chain operation. In addition, considering the uncertainty of market demand, the decision information under uniform distribution and normal distribution is discussed, and the validity of the set of options contracts is verified. 4. In this paper, the coordination and profit distribution of supply chain under flexible call option contract considering the risk aversion of members and the power of negotiation are studied further. In this paper, the cooperative game theory is used to study the implementation of the contract, and the Nash bargaining model is used when considering only the effect of risk aversion on the profit split between the two parties. The Eliashberg model is adopted when considering the risk aversion degree of both parties and the influence of the relative negotiation power on the profit distribution, which is more in line with the actual operation process of the supply chain. An example is given to illustrate the advantages of discrete utility function in the calculation of supply chain coordination contract parameters and profit distribution ratio.
【学位授予单位】：青岛大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F830.91;F274

【参考文献】