摘要
研究零售商在由实时市场和供给受限的期权市场构成的组合市场中最优采购策略的问题。零售商按照期权合同能给其带来的期望利润大小对不同的期权合同进行分类,设计了求解零售商应预定的不同期权合同的最优数量的算法。通过数例说明了不同的期权合同给零售商带来的利润往往不同,合同的供给上限越严格,零售商的期望利润越小。
Research is done on retailers＇ optimal sourcing decision in a portfolio market which consists of spot market and options market with the supply constraints. The options are classified according to the profit expectation. The algorithm is designed to calculate the optimal number of the different kinds of options the retailer should reserve. A numerical example is given to demonstrate that different options will bring different amoumts of profit to the retailer; the more rigorous the constraint is, the less profit the retailer will get.
出处
《工业工程》
2008年第2期41-46,共6页
Industrial Engineering Journal
基金
国家自然科学基金重点资助项目(70732003)
关键词
期权合同
实时市场
最优化
风险管理
options market
spot market
optimization
risk management
