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Risk analysis of commitment-option contracts with forecast updates

文献类型：期刊论文

作者Buzacott, John1; Yan, Houmin2; Zhang, Hanqin3,4
刊名IIE TRANSACTIONS
出版日期2011
卷号43期号:6页码:415-431
关键词Mean-variance commitment-option contract forecast updates stochastic order
ISSN号0740-817X
DOI10.1080/0740817X.2010.532851
英文摘要The standard treatment of supply chain models largely focuses on the optimization of the expected value of a given cost or profit measure. Due to highly uncertain supply and demand conditions, the use of the expected objective measure may not be justified. This article studies a class of commitment-option supply contracts in a mean-variance framework. With structure properties established it is shown that a mean-variance trade-off analysis with advanced reservation can be carried out. Moreover, it is indicated how the corresponding contract decisions differ from decisions for optimizing an expected objective value.
资助项目RGC[4187/09]
WOS研究方向Engineering ; Operations Research & Management Science
语种英语
WOS记录号WOS:000288960200003
出版者TAYLOR & FRANCIS INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/12218]  
专题应用数学研究所
通讯作者Buzacott, John
作者单位1.York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada
2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
3.Natl Univ Singapore, Sch Business, Singapore 117548, Singapore
4.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Buzacott, John,Yan, Houmin,Zhang, Hanqin. Risk analysis of commitment-option contracts with forecast updates[J]. IIE TRANSACTIONS,2011,43(6):415-431.
APA Buzacott, John,Yan, Houmin,&Zhang, Hanqin.(2011).Risk analysis of commitment-option contracts with forecast updates.IIE TRANSACTIONS,43(6),415-431.
MLA Buzacott, John,et al."Risk analysis of commitment-option contracts with forecast updates".IIE TRANSACTIONS 43.6(2011):415-431.

入库方式： OAI收割

来源：数学与系统科学研究院

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