摘要
研究逆向拍卖采购下具有风险规避的报童模型,其中报童的采购数量和采购价格均需通过逆向拍卖的方式来发现.利用CVaR理论,得到逆向拍卖采购下的报童在风险规避时的最优采购量小于风险中性时的最优采购量,且报童对风险越规避其采购量越少.同时,该研究结果也表明了报童的最优采购量与商品的零售价无关,而且我们也就各种费用参数对最优采购量的影响做了比较静态分析.
This paper studies a risk averse newsvendor＇s model under reverse auction procurement, in which the procurement quantity and price must be discovered by auctioning/bidding. By using CVaR fram- work, we show that a risk averse newsvendor＇s optimal procurement quantity is smaller than that of a risk neutral newsvendor, and the more risk averse, the less the optimal procurement quantity. We also show that the optimal procurement quantity in the newsvendor model is independent of retail price. Comparative- static effects in the various cost parameters are also examined.
出处
《湘潭大学自然科学学报》
CAS
北大核心
2013年第1期1-5,共5页
Natural Science Journal of Xiangtan University
基金
湖南省重点学科建设资助项目
关键词
报童模型
逆向拍卖
风险规避
条件风险估值
newsvendor model
reverse auction
risk aversion
Conditional Value-at-Risk
