现货价格和需求关联时期权组合合约模式下采购风险管理策略

Optimal Strategies of Procurement Risk Management with Correlated Demand and Spot Price

在现货价格和客户端需求关联的情形下,本文引用期权组合合约建立现货市场供应量有限时的两阶段采购风险管理模型,以期最大化零售商的期望收益。文中先用逆向归纳法列出零售商第二阶段的最优策略,采用标准扰动定理得出有效合约应满足的最优性条件,并将原模型转化为单调的最短路径问题,应用动态规划求解最优的采购策略。最后用算例分析了现货价格与需求的相关系数及现货市场的供应量对最优策略的影响,发现当供应量一定时,各有效合约的最优预订量及有效合约的总预订量都随着相关系数的增大而提高,并且有效合约受相关系数的影响大小取决于合约的灵活性;并且,当相关系数一定时,有效合约的总预订量及执行价格最低的有效合约的最优预订量都随着供应量的增加而单调减少。

When spot market price and customer demand are correlated,the paper investigates a two-stage procurement risk management model based on portfolio contracts and spot market with limited capacity so as to maximize the retailer＇s expected profit.Firstly we use back-ward induction to derive the retailer＇s optimal strategy in the second stage,then employ the standard perturb argument to provide with the optimality property of consecutive active contracts.Secondly,we transfer the original model into a shortest-monotone path problem and propose a dynamic programming algorithm to obtain the retailer＇s optimal procurement strategy.Finally,we employ a numerical example to study the impacts of correlation and capacity in the spot market on the optimal procurement strategy,and the conclusion are drawn：（1） given the capacity of the spot market,the optimal reservation amounts of active contracts raise as the correlation increases,moreover the intensity of increase depends on the contract＇s flexibility;（2） given the correlation,as the capacity of spot market increases,the retailer should decrease the optimal reservation amounts of active contracts as well as active contract with the lowest execution cost.