基于CVaR准则具有预算约束和损失约束的报童决策
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中南大学 商学院

作者简介:

许民利

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中图分类号:

F203; F224.32

基金项目:

教育部人文社科规划基金;湖南省自然科学基金


Newsvendor decision with budget constraint and loss constraint under CVaR criterion
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Business School, Central South University

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    摘要:

    为了探讨风险态度、现实约束对决策行为的影响, 建立了具有预算约束、损失约束、需求依赖于价格、基于条件风险价值(CVaR) 准则的价格-订单量决策模型, 并给出了模型最优解与约束条件有效阀值求解方法. 研究结果表明, 条件风险价值对损失约束比对预算约束的敏感程度高, 而不同约束的高敏感区域位置不同; 风险规避程度越高, CVaR 对约束值的弹性系数越低; 预算约束值的提高降低了边际贡献率, 风险规避程度越高, 降低幅度越大.

    Abstract:

    In order to find how the risk attitude and realistic constraint influence the decision behavior, a price-order quantity decision model with stochastic price-dependent demand, budget constraint and loss constraint under the conditional value-at-risk(CVaR) criterion is founded. A method of solution to the model and the effectual threshold of the constraints is given. The research shows that the CVaR is more sensitive to the loss constraint than to the budget constraint, and high-sensitive domains of different constraints are located at different areas. The higher the degree of risk aversion is, the lower the constraint value elasticity coefficient of CVaR is. Higher budget constraint value leads to lower marginal contribution ratio, which is more significant with the degree of risk aversion increasing.

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许民利 李展.基于CVaR准则具有预算约束和损失约束的报童决策[J].控制与决策,2013,28(11):1614-1622

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历史
  • 收稿日期:2012-07-17
  • 最后修改日期:2012-09-24
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  • 在线发布日期: 2013-11-20
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