Risk analysis of a pay to delay capacity reservation contract
文献类型：期刊论文
| 作者 | Wu, J; Yue, WY; Yamamoto, Y; Wang, SY |
| 刊名 | OPTIMIZATION METHODS & SOFTWARE
 |
| 出版日期 | 2006-08-01 |
| 卷号 | 21期号:4页码:635-651 |
| 关键词 | supply chain contract optimization risk analysis conditional value-at-risk |
| ISSN号 | 1055-6788 |
| DOI | 10.1080/10556780600723310 |
| 英文摘要 | This paper addresses a topic of supply chain management from a new perspective: incorporating risk aversion in a supply contract model. A pay to delay capacity reservation contract is analyzed by using the concept of conditional value-at-risk (Cvar). First, we construct the manufacturers optimal ordering problem by using the dynamic programming approach. Then, we derive the manufacturers optimal ordering strategy and compare our results with those obtained by using expectation performance and mean-variance tradeoff. Finally, numerical results are shown to reveal the impact of risk aversion on the manufacturers optimal decisions. The analysis presented in this paper reveals advantages of using the Cvar approach over the mean-variance approach. |
| WOS研究方向 | Computer Science ; Operations Research & Management Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000238565200010 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2467]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Yue, WY |
| 作者单位 | 1.Konan Univ, Dept Informat Sci & Syst Engn, Kobe, Hyogo 6588501, Japan 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.Konan Univ, Inst Intelligent Informat & Commun Technol, Kobe, Hyogo 6588501, Japan 4.Univ Tsukuba, Grad Sch Syst & Informat Engn, Tsukuba, Ibaraki 3058573, Japan |
| 推荐引用方式 GB/T 7714 | Wu, J,Yue, WY,Yamamoto, Y,et al. Risk analysis of a pay to delay capacity reservation contract[J]. OPTIMIZATION METHODS & SOFTWARE,2006,21(4):635-651. |
| APA | Wu, J,Yue, WY,Yamamoto, Y,&Wang, SY.(2006).Risk analysis of a pay to delay capacity reservation contract.OPTIMIZATION METHODS & SOFTWARE,21(4),635-651. |
| MLA | Wu, J,et al."Risk analysis of a pay to delay capacity reservation contract".OPTIMIZATION METHODS & SOFTWARE 21.4(2006):635-651. |
入库方式： OAI收割
来源：数学与系统科学研究院
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