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机会损失最小化报童模型中的订购决策研究

许丽娜1,孟志青2,徐新生3   

  1. 1. 浙江理工大学科技与艺术学院, 杭州 311121; 2. 浙江工业大学经贸管理学院,杭州 310023; 3. 滨州学院数学系, 滨州 256603
  • 出版日期:2017-01-25 发布日期:2017-03-31

许丽娜,孟志青,徐新生. 机会损失最小化报童模型中的订购决策研究[J]. 系统科学与数学, 2017, 37(1): 239-252.

XU Lina, MENG Zhiqing,XU Xinsheng. Optimal Ordering Decisions to Minimize Opportunity Loss in the Newsvendor Model[J]. Journal of Systems Science and Mathematical Sciences, 2017, 37(1): 239-252.

Optimal Ordering Decisions to Minimize Opportunity Loss in the Newsvendor Model

XU Lina1, MENG Zhiqing2 ,XU Xinsheng3   

  1. 1. Keyi College, Zhejiang Sci-Tech University, Hangzhou 311121; 2. College of Economics and Management, Zhejiang University of Technology, Hangzhou 310023; 3. Department of Mathematics, Binzhou University, Binzhou 256603
  • Online:2017-01-25 Published:2017-03-31

结合条件风险值(conditional value-at-risk, CVaR)准则对机会损失最小化报童模型中零售商的 订购决策进行研究. 研究结果表明: 当订购过量损失大于订购不足损失时, 零售商基于CVaR机会损失最 小化的订购量小于期望机会损失最小化的订购量, 且随着零售商对风险厌恶程度 的增加而减少; 反之, 当订购过量损失小于订购不足损失时, 零售商基于CVaR机 会损失最小化的订购量大于期望机会损失最小化的订购量, 且随着零售商对风险厌恶程度 的增加而增加; 随着零售商对风险规避程度的增加, 零售商基于CVaR机会损失最小化 的订购量所对应的期望利润和期望机会损失分别减少和增加, 即低风险 意味着低收益, 高收益伴随着高风险.

This paper adopts the CVaR measure to study the newsvendor model in which the risk-averse newsvendor aims to minimize his CVaR of opportunity loss. The following results are achieved. The newsvendor's optimal order quantity to minimize CVaR of opportunity loss is decreasing in the confidencel level and thus is smaller than the expected opportunity loss minimization order quantity when the overage loss is bigger than the underage loss. The newsvendor's optimal order quantity to minimize CVaR of opportunity loss is increasing in the confidencel level and thus is bigger than the expected opportunity loss minimization order quantity when the overage loss is smaller than the underage loss. Besides, it is shown that under the optimal order quantity to minimize CVaR of opportunity loss, the newsvendor's expected profit is decreasing in the confidence level and the newsvendor's expected opportunity loss is increasing in the confidence level, which confirm that low risk implies low return while high return comes with high risk.

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