Risk analysis of commitment-option contracts with forecast updates

doi:10.1080/0740817X.2010.532851

CSpace > 应用数学研究所

	Risk analysis of commitment-option contracts with forecast updates
	Buzacott, John 1; Yan, Houmin 2; Zhang, Hanqin3,4
	2011
发表期刊	IIE TRANSACTIONS
ISSN	0740-817X
卷号	43 期号:6 页码:415-431
摘要	The standard treatment of supply chain models largely focuses on the optimization of the expected value of a given cost or profit measure. Due to highly uncertain supply and demand conditions, the use of the expected objective measure may not be justified. This article studies a class of commitment-option supply contracts in a mean-variance framework. With structure properties established it is shown that a mean-variance trade-off analysis with advanced reservation can be carried out. Moreover, it is indicated how the corresponding contract decisions differ from decisions for optimizing an expected objective value.
关键词	Mean-variance commitment-option contract forecast updates stochastic order
DOI	10.1080/0740817X.2010.532851
语种	英语
资助项目	RGC[4187/09]
WOS研究方向	Engineering ; Operations Research & Management Science
WOS类目	Engineering, Industrial ; Operations Research & Management Science
WOS记录号	WOS:000288960200003
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12219
专题	应用数学研究所
通讯作者	Buzacott, John
作者单位	1.York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada 2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 3.Natl Univ Singapore, Sch Business, Singapore 117548, Singapore 4.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Buzacott, John,Yan, Houmin,Zhang, Hanqin. Risk analysis of commitment-option contracts with forecast updates[J]. IIE TRANSACTIONS,2011,43(6):415-431.
APA	Buzacott, John,Yan, Houmin,&Zhang, Hanqin.(2011).Risk analysis of commitment-option contracts with forecast updates.IIE TRANSACTIONS,43(6),415-431.
MLA	Buzacott, John,et al."Risk analysis of commitment-option contracts with forecast updates".IIE TRANSACTIONS 43.6(2011):415-431.