基于VaR的多阶段存货风险衡量方法

VaR(风险价值)方法在金融管理中作为一种衡量风险的有效手段,得到了越来越广泛的应用. 探讨VaR方法应用于存货的风险控制,通过将存货区分为单一阶段存货和多阶段存货,借助VaR的方法,讨论了多阶段存货管理中的风险衡量问题;介绍了存货管理中与VaR方法有关的基本概念;通过VaR方法的运用,建立了随机需求下的多阶段存货决策模型,并采用解析方法得到了VaR值的分布范围,为有效度量多阶段存货风险提供了期望最大收益(或最大成本)的界值.

A risk measurement for multi-period inventory based on VaR

Value-at-Risk(VaR) is being used more and more widely in financial management as an efficient measurement of the risks taken.VaR will be explored in the inventory risk measurement.By dividing the inventory into the single-period inventory and multi-period inventory and using VaR method,it explores the measurement of the risks in the inventory management which is explored in the multi-period inventory management.After introducing the notion of VaR to inventory problems,multi-period inventory decision model for random demand via VaR methods is built and the probability distribution of the result via analytical methods is deduced,which supplies some bounds of expected maximum earnings or cost for efficient measurement risk.