CVaR准则下考虑过度自信行为的报童模型研究

为研究风险厌恶零售商对随机市场需求的信念有过度自信行为时的订货策略，以CVaR作为风险度量准则，建立了CVaR下过度自信的报童模型.探讨风险厌恶程度和过度自信行为对零售商的最优订货决策及相应条件风险值的影响，分析过度自信零售商和完全理性零售商的信念条件风险值与实际条件风险值.研究结果发现:在一定风险水平下，过度自信导致零售商条件风险值降低且订货量偏离完全理性时的情形.数值算例验证了模型的有效性，为现实中零售商的订货决策提供了理论支持.

Newsvendor Model with Overconfidence Behavior Under CVaR Criterion

In order to study the ordering strategy of risk-aversion retailers when they have overconfident behaviors in their beliefs in random market demand， CVaR was used as a risk measurement criterion， and an overconfident newsvendor model under CVaR was established. The effect of risk-aversion and overconfidence on retailer’s optimal ordering decision and corresponding conditional risk value was discussed. And the belief condition risk value and actual condition risk value of over confident retailers and fully rational retailers were analyzed. The results showed that overconfidence causes retailer to reduce the risk value of the condition and the order quantity deviates from full rational. Numerical examples verified the validity of the model and provided theoretical support for retailers’ ordering decisions in reality.