随机需求下基于CVaR的资金约束供应链决策问题研究

Research on Supply Chain with Capital Constraint Based on CVaR under Stochastic Demand

在零售商资金约束下,借助条件风险值(CVaR)理论研究了基于收益共享契约的风险中性供应商和风险厌恶零售商组成的两级供应链定价决策模型。根据零售商解决资金问题方式的不同,在零售商风险厌恶下分别对推迟支付模型和银行借款模型进行分析,给出了不同约束下的零售商和供应商最优定价决策以及系统与成员运作绩效。最后进行数值算例,研究结果发现,在零售商风险厌恶情况下,收入共享系数的大小决定零售商解决资金约束问题的方式,而收入共享系数的确定取决于双方的谈判能力。

For a two-stage supply chain system which consists of a risk-neutral supplier and a retailer with risk-aversion,apricing decision model of supply chain based on revenue-sharing contract is established under the retailer capital constraint by CVaR（Conditional Value-at-Risk）.According to the different ways to solve the capital insufficient problem,the loan-payment strategy model and the deferred-payment strategy model are analyzed under retailer’s riskaversion.The optimal decision of a retailer and a supplier,and the operational performances of supply chain system and members are proposed respectively.At last,numerical calculations are conducted to validate the effectiveness of the ways of raising money.Results show that the ways of solving the capital insufficient problem will be affected by the revenue-sharing coefficience under retailer’s risk-aversion,but the revenue-sharing coefficient depends on the negotiation skills of retailer and supplier.