带有缺货惩罚的报童模型中的CVaR 研究

研究报童模型中,在条件风险估值(Conditional Value-at-Risk,简记为CVaR)风险度量准则下,缺货惩罚和风险厌恶程度对厌恶风险的零售商的最优定购数量的影响.当没有缺货惩罚时,人们已经知道,在风险厌恶环境中的最优定购数量小于风险中性时的最优定购数量.本研究结果表明,当有缺货惩罚时,上述结论不一定成立,这依赖于需求的分布、风险厌恶的程度以及单位缺货惩罚的大小.文中用两个数值例子来对此进行了说明.

CVaR in a Newsvendor Model with Lost Sale Penalty Cost

The traditional treatment of supply chain models largely focuses on the optimization of the expected value of a given cost or profit measure.Owing to highly uncertainty in supply and demand,the use of the expected objective measure may be not justified.In this paper,in a Conditional Value-at-Risk(CVaR) framework,we study the impact of lost sale penalty cost and degree of risk aversion on a risk averse retailer's optimal ordering quantity in the newsvendor setting.When there is no lost sale penalty cost,it is well known that a risk averse retailer's optimal ordering quantity is less than that of a risk neutral retailer.We show that when there is lost sale penalty cost the conclusion may not be true,which depends on demand distribution,degree of risk aversion and the value of shortage cost.And then we illustrate our findings by two examples.