考虑成员风险态度和VaR约束时的供应链协调模型

Supply Chain Coordination Model Considering Risk Attitudes of Agents with VaR Constraints

研究了两级供应链中单供应商和单零售商具有不同的风险态度(风险规避或风险中性)时的协调问题。使用VaR量化供应链的成员对于风险的态度,利用收入分享契约协调供应链,建立了考虑供应链的成员的风险态度和VaR约束下的协调模型,给出了各种不同情形下收入分享契约参数的取值范围,并且通过一个数值算例说明了模型的求解过程。研究表明,当考虑供应链的成员的风险态度和VaR约束时,风险规避的供应商提供给零售商的批发价格可以超过生产成本,这在不考虑成员风险态度且使用收入分享契约协调供应链时不会发生;同时也发现如果供应商对待风险的态度过于保守,将会严重降低供应链的运作效率。

In a newsvendor problem when the retailer sells a product during a short selling season with stochastic demand,the retailer needs to order inventory before a single selling season.If too much is ordered,stock is left over at the end of the period,whereas if too little is ordered,sales are lost.Though the expected profit-maximizing order quantity is well known,some evidence indicates that the retailers＇ decisions do not correspondent to the profit-maximization order quantities.A risk-averse retailer will systematically order less than the profit-maximizing order quantity.This is because the retailer may have other alternative risk-related objectives.The classical newsvendor problem primarily focuses on expected profit maximization.However,the performance measure with expected value alone is insufficient,and it ignores the risk attitude of the decision-maker.This research studies a two-echelon supply chain coordination model with one supplier and one retailer in a newsvendor problem context.Assume that the two supply chain agents have different risk attitude（risk-neutral or risk-averse）.In the aspect of risk-averse,both agents utilize a VaR constraint to measure the maximum value of the random profit function in a given confidence interval.What＇s more,the supplier and the retailer share the total revenue based on a revenue sharing contract.The optimal order quantity for the retailer and the optimal production quantity for the supplier when the agents have different risk attitude are obtained,and the proper channel coordination contract is also designed.In the first part,the retailer＇s optimal order quantities with different attitude towards risk are obtained respectively.The scenario when the retailer is risk-neutral is the same as standard newsvendor problem;whereas the scenario when the retailer is risk-averse simplifies to a constrained newsvendor problem,which can be solved by means of constrained optimization technique.The analysis indicates that different risk attitude has great influence on the retailer＇s optimal order quantity.In subsequent,the supplier＇s optimal production quantity is obtained in the same manner when the supplier has different attitude towards risk.The results indicate that the supplier＇s optimal production quantity is considerably influenced by the supplier＇s attitude toward risk.In the second part,when considering the supply chain agents＇ different risk attitude,the revenue sharing contract is incorporated to coordinate the supply chain.A supply chain coordination model based on revenue sharing contract is established.It is found that the supply chain can be coordinated with revenue sharing contract by setting proper parameters when considering agents＇ risk attitude by means of VaR constraints.In the last part,some numerical examples are used to illustrate the results obtained in this paper,and the conditions that the parameter of the revenue sharing contract must be satisfied are also presented.In summary,agents＇ different risk attitude has great influence on the retailer＇s optimal order quantity.The risk-averse supplier may charge a wholesale price larger than the marginal production cost,which will never occur when coordinating the supply chain with revenue sharing contract without considering the risk attitude of supply chain agents.The operation efficiency for the supply chain will be underperformed when the supplier is much too risk-averse.