基于CVaR准则具有预算约束和损失约束的报童决策.pdfVIP

第28 卷 第11 期 控 制 与 决 策 2013 年 11 月 Vol. 28 No. 11 Control and Decision Nov. 2013 文章编号: 1001-0920 (2013) 11-1614-09 基于CVaR 准则具有预算约束和损失约束的报童决策 许民利, 李 展 (中南大学商学院，长沙410083) 摘 要: 为了探讨风险态度、现实约束对决策行为的影响, 建立了具有预算约束、损失约束、需求依赖于价格、基于 条件风险价值(CVaR) 准则的价格-订单量决策模型, 并给出了模型最优解与约束条件有效阀值求解方法. 研究结果 表明, 条件风险价值对损失约束比对预算约束的敏感程度高, 而不同约束的高敏感区域位置不同; 风险规避程度越 高, CVaR 对约束值的弹性系数越低; 预算约束值的提高降低了边际贡献率, 风险规避程度越高, 降低幅度越大. 关键词: 条件风险价值；预算约束；损失约束；弹性系数；边际贡献率 中图分类号: F203 ；F224.32 文献标志码: A Newsvendor decision with budget constraint and loss constraint under CVaR criterion XU Min-li , LI Zhan (Business School, Central South University, Changsha 410083, China. Correspondent：XU Min-li, E-mail: 163.com) Abstract: In order to find how the risk attitude and realistic constraint influence the decision behavior, a price-order quantity decision model with stochastic price-dependent demand, budget constraint and loss constraint under the conditional value-at- risk(CVaR) criterion is founded. A method of solution to the model and the effectual threshold of the constraints is given. The research shows that the CVaR is more sensitive to the loss constraint than to the budget constraint, and high-sensitive domains of different constraints are located at different areas. The higher the degree of risk aversion is, the lower the constraint value elasticity coefficient of CVaR is. Higher budget constraint value leads to lower marginal contribution ratio, which is more significant with the degree of risk aversion increasing. Key words: conditional value-at-risk ；budget constraint ；loss constraint ；elasticity coefficient ；marginal contribution ratio 0 引引引 言言言