基于随机产出与二次订购的损失厌恶零售商订购策略

Ordering Strategy of the LossAversion Retailer under Random Capacity and Second Order Option

研究面临随机产出风险及二次订购选择权时,损失厌恶零售商的最优订购策略,目标是最大化损失厌恶零售商的期望效用。首先讨论了一般效用函数下最优订购策略存在的条件及满足的方程。其次,讨论了线性效用和幂效用两种情形下最优订购策略的存在唯一性,给出了最优订购策略的敏感度分析,二次订购批发价格与商品单位残值均依赖随机产出,更符合实际情形的扩展模型。最后给出数值算例分析,直观地展示了供给风险、二次订购成本、损失厌恶和风险厌恶程度对最优策略及期望收益效用的影响。

When facing the random supply risk and second order option,the optimal order strategy for a retailer who was loss aversion with decreasing risk-aversion to maximize the expected utility,was considered.Firstly,the conditions and the equations were discussed to assure the existence of the optimal order strategy.Then,the existence and the uniqueness of the optimal ordering strategy were investigated under the linear utility and the power utility function.The sensitive analysis of the model parameters was got.The impact of the stochastic supply on the retailer′s profit was expored.In addition,The paper did an extension to a supply yield-dependent emergency cost,which was more realistic,and solved the optimal order quantity.Finally,the numerical study was given to show the influence of the supply risk,two ordering cost,loss aversion and risk aversion on the optimal strategy and expected utility.