| Analysis of Conditional Value-at-Risk for Newsvendor with Holding and Backorder Cost under Market Search |
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| 作者姓名： | LI Jianbin GAO Chengxiu HU Wei YANG Lei |
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| 作者单位： | [1]School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Hubei, China [2]Academy of Mathematics and Systems Science, Chinese Academy Sciences, Beijing 100080, China [3]School of Economics and Management, Tsinghua University, Beijing 100084, China |
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| 基金项目： | Supported by the National Natural Science Foundation of China （70471034, A0324666） |
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| 摘 要： | We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.
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| 关 键 词： | 市场调研 博弈论 成本 价值 |
| 文章编号： | 1007-1202（2007）06-0979-06 |
| 收稿时间： | 15 March 2007 |
| 修稿时间： | 2007-03-15 |
Analysis of Conditional Value-at-Risk for newsvendor with holding and backorder cost under market search |
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| LI Jianbin GAO Chengxiu HU Wei YANG Lei.Analysis of Conditional Value-at-Risk for Newsvendor with Holding and Backorder Cost under Market Search[J].Wuhan University Journal of Natural Sciences,2007,12(6):979-984. |
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| Authors: | Li Jianbin Gao Chengxiu Hu Wei Yang Lei |
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| Institution: | (1) School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, Hubei, China;(2) Academy of Mathematics and Systems Science, Chinese Academy Sciences, Beijing, 100080, China;(3) School of Economics and Management, Tsinghua University, Beijing, 100084, China |
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| Abstract: | We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and
are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately.
Market search is measured as the fraction of customers who unsatisfied with their “local” retailer due to stock-out, and search
for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in
a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost
influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash
equilibrium of order strategies.
Biography: LI Jianbin (1980–), male, Ph.D. candidate, research direction: supply chain management. |
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| Keywords: | risk averse Conditional Value-at-Risk market search game theory |
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