基于后悔规避效用函数的报童投资组合模型

Newsboy Portfolio Model Based on Regret Aversion Utility Function

基于后悔理论构造了后悔规避型报童的效用函数。针对资金约束条件下后悔规避型报童的多产品订购问题,运用投资组合理论,在期望效用最大化的分析框架下建立了解决该问题的模型——后悔规避型报童投资组合模型。通过数值算例,说明了如何求解模型的有效前沿以及各种后悔规避程度的报童的最优订货决策。结果表明,与传统的风险厌恶型报童相比,在某些情况下,后悔规避型报童应该采取更为激进的订货行为;而在另一些情况下,应该采取更为保守的订货行为。

The regret averse newsboy＇s utility function is presented based on regret theory. The newsboy＇s problem of multi- product ordering with budget constraint is studied. By using portfolio theory, a newsboy portfolio model is developed to solve the problem under the framework of expected utility maximization. Numerical example shows the way to obtain the efficient frontier of the regret averse newsboy portfolio model. The process of getting the optimal ordering decision for the newsboys with different regret aversion level is also demonstrated in the example. The results show that compared with the traditional risk averse newsboy, the regret averse newsboy should take more radical ordering actions in some cases, while in other cases he should take more conservative ordering actions.