Risk analysis of a pay to delay capacity reservation contract

doi:10.1080/10556780600723310

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	Risk analysis of a pay to delay capacity reservation contract
	Wu, J ; Yue, WY ; Yamamoto, Y ; Wang, SY
	2006-08-01
发表期刊	OPTIMIZATION METHODS & SOFTWARE
ISSN	1055-6788
卷号	21 期号:4 页码:635-651
摘要	This paper addresses a topic of supply chain management from a new perspective: incorporating risk aversion in a supply contract model. A pay to delay capacity reservation contract is analyzed by using the concept of conditional value-at-risk (Cvar). First, we construct the manufacturers optimal ordering problem by using the dynamic programming approach. Then, we derive the manufacturers optimal ordering strategy and compare our results with those obtained by using expectation performance and mean-variance tradeoff. Finally, numerical results are shown to reveal the impact of risk aversion on the manufacturers optimal decisions. The analysis presented in this paper reveals advantages of using the Cvar approach over the mean-variance approach.
关键词	supply chain contract optimization risk analysis conditional value-at-risk
DOI	10.1080/10556780600723310
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000238565200010
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2468
专题	中国科学院数学与系统科学研究院
通讯作者	Yue, WY
作者单位	1.Konan Univ, Dept Informat Sci & Syst Engn, Kobe, Hyogo 6588501, Japan 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.Konan Univ, Inst Intelligent Informat & Commun Technol, Kobe, Hyogo 6588501, Japan 4.Univ Tsukuba, Grad Sch Syst & Informat Engn, Tsukuba, Ibaraki 3058573, Japan
推荐引用方式 GB/T 7714	Wu, J,Yue, WY,Yamamoto, Y,et al. Risk analysis of a pay to delay capacity reservation contract[J]. OPTIMIZATION METHODS & SOFTWARE,2006,21(4):635-651.
APA	Wu, J,Yue, WY,Yamamoto, Y,&Wang, SY.(2006).Risk analysis of a pay to delay capacity reservation contract.OPTIMIZATION METHODS & SOFTWARE,21(4),635-651.
MLA	Wu, J,et al."Risk analysis of a pay to delay capacity reservation contract".OPTIMIZATION METHODS & SOFTWARE 21.4(2006):635-651.