| 最优期权合同组合的充要条件及采购方法 |
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| 引用本文： | 盛方正,季建华.最优期权合同组合的充要条件及采购方法[J].系统管理学报,2008,17(3). |
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| 作者姓名： | 盛方正 季建华 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 考虑存在多种期权合同市场和实时市场的情况下购买者最优采购策略问题.研究了t当实时市场价格、最终顾客需求是随机变量,零售商(同时也是期权合同购买方)面对多种期权合同种类和实时市场时,选择最优期权合同种类组合的策略,推导出期权合同最优组合满足的充分必要条件.求出了最优期权合同组合中的每种期权合同最优购买数量.分析了当可供选择的期权合同种类增加时.零售商利润变化情况.最后,通过数例说明了结论的应用.
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| 关 键 词： | 期权合同 实时市场 最优化 风险管理 最优组合 期权合同 条件 采购方法 Strategy Purchasing Optimal Portfolio Necessary Condition 应用 变化 利润 分析 购买方 策略问题 选择 合同种类 零售商 随机变量 顾客需求 市场价格 |
Research on Sufficient and Necessary Condition of Optimal Portfolio and Purchasing Strategy with Multi-options |
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| SHENG Fang-zheng,JI Jian-hua.Research on Sufficient and Necessary Condition of Optimal Portfolio and Purchasing Strategy with Multi-options[J].Systems Engineering Theory·Methodology·Applications,2008,17(3). |
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| Authors: | SHENG Fang-zheng JI Jian-hua |
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| Institution: | Antai College of Economics and Management;Shanghai Jiaotong University;Shanghai 200052;China |
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| Abstract: | The paper considering the sourcing decision when there are kinds of options and spot market.It studies the sourcing strategy of the retailer when spot price and customer demand are random variables.When the retailer,at the same time,is the buyer of the options.To get the necessary and sufficient conditions for the portfolio and decide how many contracts to reserve as to different kinds of options.The paper analyze the change of profit of the retailer when the number of option kinds change.At last,a numerica... |
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| Keywords: | options market spot market optimization risk management |
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