需求依赖于价格情境下基于Copula-CVaR的报童决策-控制与决策.PDFVIP

第29 卷 第6 期 控 制 与 决 策 2014 年 6 月 Vol. 29 No. 6 Control and Decision Jun. 2014 文章编号: 1001-0920 (2014) 06-1083-08 DOI: 10.13195/j.kzyjc.2013.0504 需求依赖于价格情境下基于Copula-CVaR 的报童决策 许民利, 李 展 (中南大学商学院，长沙410083) 摘 要: 探讨价格不确定下, 需求-价格相关性与风险态度对决策行为的影响. 建立随机需求与随机价格相关情境下 基于Copula-CVaR 的报童决策模型, Copula 函数描述相关性, 条件风险价值(CVaR) 反映风险态度, 证明了模型解的 存在性和惟一性. 蒙特卡罗模拟发现, 需求与价格的相关性与风险态度对决策的交互作用使决策行为发生规律性变 化, 决策者对价格波动有一定容忍度, 需求与价格相关性趋于不相关与完全负相关时市场趋于同质性. 关键词: Copula 函数；条件风险价值；风险态度；随机需求与随机价格相关；蒙特卡罗模拟 中图分类号: F224 ；F274 文献标志码: A Newsvendor decision based on Copula-CVaR with price-dependent demand XU Min-li , LI Zhan (School of Business，Central South University，Changsha 410083，China ．Correspondent ：XU Min-li ，E-mail: 163.com) Abstract: In order to discuss how the price-dependent demand and the risk attitude impact the decision behavior under price uncertainty, a newsvendor decision model based on Copula functions and conditional value-at-risk(CVaR) with the stochastic-price-dependent demand is founded. The correlation is described by the Copula functions and the risk attitude is measured by CVaR. The solution to the model is verified to be existent and exclusive. By Monte Carlo simulation, it is found that the mutual effect between the price-dependent demand and the risk attitude induces the decision behavior to change regularly. The decision maker can tolerate the fluctuation of price partially, and the market tends to be homogenous when the correlation between price and demand closes to no correlation or perfect negative correlation. Key words: Copula function ；conditional value-at-risk ；