风险规避零售商基于双向期权的采购管理

Risk-averse Retailers’Procurement Management Based on Two-way Options

以前景理论的效用函数为基础构建零售商的风险规避决策模型,研究双向期权下风险规避零售商的采购管理决策问题,比较风险中性与风险规避决策者的最优决策以及最优期望效用,分析风险厌恶水平以及相关契约参数对零售商的影响。研究结果以及数值仿真实验表明:风险厌恶水平的增加会改变零售商的订购组合,从而降低其期望效用;除此之外,期权购买价格以及看涨期权执行价格的增加都会降低零售商的期望效用,看跌期权执行价格的增加会增加零售商的期望效用。

Based on the utility function of prospect theory,a risk-averse decision-making model for retailers is constructed,the procurement management decision-making problems of retailers with risk aversion under two-way options is studied,the optimal decision-making and optimal expected utility of risk-neutral and risk-averse decision-makers is compared,and the influence of risk aversion level and related contract parameters on retailers are analyzed.The results of the study and numerical simulation experiments show that the increase in risk aversion levels changes the retailer’s order mix,thereby reducing its desired utility;In addition,the increase in the option purchase price and the call strike price will reduce the retailer’s expected utility,and the increase in the put option strike price will increase the retailer’s expected utility.