• 论文 •

### 一种多随从双层条件风险值模型的等价性定理

1. 浙江工业大学经贸管理学院, 杭州 310023
• 出版日期:2015-05-25 发布日期:2015-06-10

SHEN Rui, JIANG Min,MENG Zhiqing. AN EQUIVALENCE THEOREM OF BILEVEL CONDITIONAL VALUE-AT-RISK MODEL OF MULTI-FOLLOWER[J]. Journal of Systems Science and Mathematical Sciences, 2015, 35(5): 556-565.

### AN EQUIVALENCE THEOREM OF BILEVEL CONDITIONAL VALUE-AT-RISK MODEL OF MULTI-FOLLOWER

SHEN Rui, JIANG Min ,MENG Zhiqing

1. College of Business and Administration, Zhejiang University of Technology, Hangzhou 310023
• Online:2015-05-25 Published:2015-06-10

Multi-follower risk decision-making problems is very popular in risk management of supply chain. This paper studies a bilevel conditional value-at-risk model of multi-follower under risk-averse. We first introduce the concept of VaR loss value (minimum value at risk) and CVaR loss value (minimum risk value corresponding to the loss of value of the conditional expectation or conditional value at risk measure) of multi-follower under risk-averse. We present a bilevel conditional value-at-risk model of multi-follower under risk-averse. The objective is to find out an optimal solution to the model of upper level and lower level value of the CVaR's based on the weights. Then, an equivalence theorem that can be solved more easily through another bilevel programming model to obtain the optimal solution is proved.

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