| 基于CVaR理论的原油采购策略研究 |
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| 引用本文： | 尤志文,焦建玲.基于CVaR理论的原油采购策略研究[J].合肥工业大学学报(自然科学版),2012,35(5):694-699. |
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| 作者姓名： | 尤志文 焦建玲 |
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| 作者单位： | 合肥工业大学 管理学院,安徽 合肥,230009 |
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| 基金项目： | 国家自然科学基金资助项目，安徽省自然科学基金资助项目 |
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| 摘 要： | 在采购原油过程中,企业除了控制采购成本,还需控制潜在风险损失。文章利用金融领域的条件风险价值理论度量企业面临的潜在风险损失,结合随机规划理论构建了一个两阶段的原油采购决策模型,并结合我国原油进口实际进行了算例分析,分析结果对指导企业原油采购及风险控制具有参考意义。
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| 关 键 词： | 条件风险价值 随机规划 原油采购 |
Study of crude oil purchasing strategy based on CVaR theory |
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| YOU Zhi-wen
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JIAO Jian-ling.Study of crude oil purchasing strategy based on CVaR theory[J].Journal of Hefei University of Technology(Natural Science),2012,35(5):694-699. |
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| Authors: | YOU Zhi-wen JIAO Jian-ling |
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| Institution: | (School of Management,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | In the process of crude oil purchasing,the enterprises need to control the potential risk loss besides the purchase cost.By using the theory of conditional value-at-risk(CVaR) in the financial field,the potential risk loss which the enterprises face is measured,and a two-stage decision model of crude oil purchasing is constructed by using the stochastic programming theory.Then a numerical example is given based on the actual situation of Chinese crude oil import,and the results have referential value in crude oil purchasing and risk controlling. |
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| Keywords: | conditional value-at-risk(CVaR) stochastic programming crude oil purchasing |
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