| 有限供应的现货市场与期权合约下的采购策略 |
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| 引用本文： | 李建斌,杨瑞娜. 有限供应的现货市场与期权合约下的采购策略[J]. 管理科学学报, 2011, 14(7): 43-54 |
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| 作者姓名： | 李建斌 杨瑞娜 |
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| 作者单位： | 1. 华中科技大学管理学院,武汉,430074
2. 香港科技大学工业工程与物流管理系,中国香港 |
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| 基金项目： | 国家自然科学基金资助项目(70901029) |
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| 摘 要： | 在随机现货价格与随机需求相独立的情况下,当现货市场供应量有限时,本文采用期权组合合约建立两阶段采购风险管理模型,以期最大化零售商的期望利润.文中提供了甄别有效合约的算法,得到零售商的最优采购策略,并进一步用算例分析了现货市场的供应量、现货价格和客户需求的波动性对最优采购策略的影响,发现当现货市场的供应量增加时,零售商应...
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| 关 键 词： | 采购风险管理 期权合约 现货市场 价格波动性 |
Procurement policy based on portfolio contracts and spot market with limited capacity |
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| LI Jian-bin,YANG Rui-na. Procurement policy based on portfolio contracts and spot market with limited capacity[J]. Journal of Management Sciences in China, 2011, 14(7): 43-54 |
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| Authors: | LI Jian-bin YANG Rui-na |
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| Affiliation: | LI Jian-bin1,YANG Rui-na2 1.School of Management,Huazhong University of Science and Technology,Wuhan 430074,China,2.Department of Industrial Engneering & Logistics Management,Hong Kong University of Science & Technology,Hong Kong |
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| Abstract: | As spot price and customer demand are independent,this paper investigates a two-stage procurement risk management model based on portfolio contracts and spot market with limited capacity.An algorithm is proposed to identify active contracts and derive the optimal procurement strategy.Moreover,a numerical example is introduced to study the impacts of capacity in the spot market,spot price volatility and demand volatility on the optimal procurement strategy.Given the distribution functions of demand and spot ... |
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| Keywords: | procurement risk management option contract spot market spot price volatility |
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