风险规避供应商参与下基于实物期权的供应链协调

研究不确定性需求下,由风险规避的供应商和占主导地位的零售商组成的二级供应链的协调问题。构建了基于实物期权的协调机制,给出了实现协调的最优期权价格和期权执行价格的求解算法,分析了供应商风险规避特性对各方订货量和利润的影响。结果表明,在供应商风险规避条件下,基于实物期权的契约可以实现不确定需求下的供应链协调。     

随机需求下有产能约束的技术创新策略研究

在随机需求和技术变革的环境下,基于有产能约束的单供应商-单零售商的供应链结构,研究供应商分销价格决策和技术创新策略以及零售商订货决策。建立了三阶段Stackelberg博弈模型,通过逆推方法求得了供应商最优分销价格和技术创新策略以及零售商最优订货量,深入探讨了供应商产能、新技术出现概率以及市场需求期望与波动分别对供应商、零售商和供应链整体利润的影响。结果表明当供应商产能不足时进行技术创新会提高供应商和供应链的利润,但零售商因间接承担供应商技术创新的投资成本而利润下降;当供应商产能过剩时进行技术创新则会降低供应商及供应链的利润,而零售商的利润增加。新技术出现概率增加会提高供应链各成员的利润;提高市场需求期望并减小市场波动对供应商及供应链有利,但可能会降低零售商的利润。     

需求依赖努力水平的农产品供应链期权契约优化

针对供应商和零售商组成的农产品供应链,研究市场需求受到努力水平影响的农产品供应链协调问题.由于双重边际效应,分散式供应链中的最优生产数量低于集中式供应链的情况,零售商努力水平也相对较低.引入期权契约时,在零售商主导期权契约的供应链中,研究得到零售商的最优初始订货量和最优期权价格,以及供应商的最优生产数量,实现供应链协调.数值分析证实了期权契约有助于提高零售商的努力水平以及整个供应链的利润.     

随机需求下基于供应中断的备份供应商决策分析

假定需求服从随机分布,研究由零售商主导的供应链中,采用一个战略供应商和一个备份供应商模式,零售商与备份供应商通过能力期权建立订货契约:首先,零售商向备份供应商预订能力,支付预订成本;接着,向战略供应商订货,如果没有发生突发事件则其供货量等于订货量,否则供货量变为零;然后,零售商基于战略供应商的供货量和备份供应商的能力预订确定向备份供应商的订货量,支付执行成本;最后,零售商用战略供应商和备份供应商的总供货量满足顾客需求。备份供应商在考虑自己的能力维持成本和制造成本后决定是否接受零售商提供的能力期权契约。针对零售商可选择的四种不同策略,求得采取不用策略所满足的条件,并给出相应的最优订货量、能力预订量和能力执行量和最优利润等的解析解。     

基于电子交易市场的两类采购策略比较研究

B2B电子交易市场能够为供应链中的企业提供现货交易、期权合约交易等交易服务.在考虑现货市场流动性以及期权合约在到期后能够被用来投机获利的前提下,研究零售商的两种采购策略.研究结果表明,供应商与零售商签订长期合约时将以B2B电子市场形成的现货价格作为参照依据；市场流动性对长期合约采购量的影响取决于现货价格均值与长期合约采...     

基于实物期权的物流企业能力外购策略

探讨物流企业面临客户需求以及市场物流能力价格的双重不确定环境,物流企业的能力外购策略。通过引入实物期权的思想,构建物流企业能力外购模型,寻找使物流企业期望收益最大的能力预定量。分析表明,最优预定量随着期权价格和期权执行价格的增加而减小。最后,通过算例分析进一步探讨不同期权执行价格对物流企业最优外购策略选择的影响。     

合约决策条件下的一种二层报童问题模型

考虑到顾客需求和市场价格具有高度的不确定性，供应商和零售商为了回避风险而达到最大的期望利润，双方通常可以采用签订合约的方式来进行决策。为此，我们建立了以供应商为领导层、零售商为从属层的具有合约决策的一个二层报童模型。供应商和零售商可以依据该模型的最优解通过谈判协商确定合约决策变量值以获取较高的期望利润。     

期权合约下基于CVaR的订单农业供应链协调研究

在农产品价格随机波动背景下，以包含一个风险规避型农户和一个风险中性公司的订单农业供应链为研究对象，运用条件风险价值(CVaR)准则研究订单农业供应链最优策略与协调问题。研究结果表明，分散决策情形下的农产品产量和决策双方总收益均低于集中决策情形。对此，在订单农业供应链中引入期权合约，研究发现当农户风险规避程度不很低时，期权合约能够促使农户与公司均实现帕累托改进，并且在期权合约下，农户可通过行权应对农产品价格波动风险，保证农产品产量和自身收益不受风险规避行为的影响；进一步研究表明，当农户风险规避程度较高时，期权合约能够实现订单农业供应链的完美协调。     

双币种博弈期权

博弈期权是一种赋予期权出售方在期权有效期内任意时刻可以赎回合约权利的美式期权.在B-S框架下分析了双币种情形下的博弈期权定价行为,建立了双币种博弈期权的定价模型,分别讨论了敲定价以国内货币计价和国外货币计价下的博弈期权定价问题及其最优赎回策略,通过运用偏微分方程的方法得到了这两种情形下期权价格的表达式及其最优执行边界.最后通过数值模拟,分析了标的资产和汇率的波动水平以及汇率与标的资产的相关系数对期权的最优执行策略和违约金边界的影响.     

考虑客户违约情况下的易逝品超售决策研究

在产能固定的情况下,考虑两类客户no show的随机性,建立了两类客户no show情况下易逝品的超售决策模型,得到了订货量的最优解.算例分析结果表明:普通客户单位订货价格对最优订货量有显著影响,而VIP客户的单位订货价格只有超过一定值时,才能显著影响最优订货量;两类客户的单位补偿对最优订货量的影响都较小;两类客户的短缺成本对最优订货量均有明显影响,相比而言,普通客户的短缺成本对最优订货量的影响更大.     

The implications of costs, capacity, and competition on product line selection

We consider a situation in which a manufacturer has to select the product(s) to sell as well as the selling price and production quantity of each selected product. There are two substitutable products in the consideration set, where product 2 has a higher quality and reservation price than that of product 1. By considering the cannibalization effect that depends on the selling price of each product, the manufacturer needs to evaluate the profit function associated with three different product line options: sell both products or only one of the 2 products. In order to examine the impact of costs, capacity, and competition on the optimal product line selection, optimal price, and optimal production quantity analytically, we present a stylized model in this paper so that we can determine the conditions under which a particular option is optimal.     

销售商出售看跌期权的供应链优化研究

在由一个供应商和一个销售商组成的单期两级供应链中,处于主导地位的销售商以其卖场所具有的销售能力参与供应链合作,并从销售的每一个产品中获取既定收益。同时,销售商还向供应商出售建立在产品销售量保障基础上的看跌期权,以激励供应商参与供应链合作。论文对上述情形的销售商出售看跌期权的供应链合作问题进行了研究,通过建模与优化分析,证明了在销售商提供看跌期权的供应链合作中,供应商存在唯一的最优生产批量和看跌期权采购量,以及销售商存在最优的从每一单位产品销售中获取的既定收益。论文还揭示了销售商提供看跌期权,虽然无法实现供应链协调,但可以实现供应链参与企业所获得的收益与其所承担的风险相匹配。最后,论文论证了在销售商出售看跌期权机制下,供应链存在收益损失较小的理想合作区域。     

Efficient Coordination by Optimal Allocation of Decision Rights for Participants on Electronic Financial Services Markets

Information technology (IT) is enabling large companies and particularly banking firms to create new forms of organizations. Both globalization of markets and stronger regulation throughout the world puts pressure on banking firms to either spend more money coordinating business activities in the traditional hierarchical ways or to employ new forms of organizations enabled by (lower costs of) IT. When facing uncertain demand in multiple horizontal markets, resource allocation problems occur. Accordingly, the location of decision authority in a multilevel hierarchical organization has profound impact on the performance of the firm. The firm has to design its coordination structure, which determines who makes the resource allocation decisions. Considering the tradeoff between pooling effects in the case of centralized decision-making and better assessment of local markets in the case of decentralized decision-making, the decision problem where to locate decision rights to maximize total profits has to be solved. In this paper we investigate for both independent and dependent demands the total profits for each of the possible coordination mechanisms: centralized decision-making, decentralized decision-making, and intermediate-level decision-making. It turns out that—depending on the crucial parameters of the firm—decentralized decision-making or centralized decision-making may be optimal. But in many relevant cases the optimal location of decision rights is at an intermediate level of the hierarchy. We illustrate the findings by considering the banking firm coordinating equity capital allocation by granting alternative decision rights to their employees as participants on electronic financial markets. Finally we discuss the generality of the approach and its applicability in other areas such as inventory management.     

Dual sourcing using capacity reservation and spot market: Optimal procurement policy and heuristic parameter determination

This contribution focuses on the cost-effective management of the combined use of two procurement options: the short-term option is given by a spot market with random price, whereas the long-term alternative is characterized by a multi period capacity reservation contract with fixed purchase price and reservation level. A reservation cost, proportional with the reservation level, has to be paid for the option of receiving any amount per period up to the reservation level. A long-term decision has to be made regarding the reserved capacity level, and then it has to be decided – period by period – which quantities to procure from the two sources. Considering the multi-period problem with stochastic demand and spot price, the structure of the optimal combined purchasing policy is derived using stochastic dynamic programming. Exploiting these structural properties, an advanced heuristic is developed to determine the respective policy parameters. This heuristic is compared with two rolling-horizon approaches which use the one-period and two-period optimal solution. A comprehensive numerical study reveals that the approaches based on one-period and two-period solutions have considerable drawbacks, while the advanced heuristic performs very well compared to the optimal solution. Finally, by exploiting our numerical results we give some insights into the system’s behavior under problem parameter variations.     

Improving prediction market forecasts by detecting and correcting possible over-reaction to price movements

We examine the impact of price trends on the accuracy of forecasts from prediction markets. In particular, we study an electronic betting exchange market and construct independent variables from market price (odds) time series from 6058 individual markets (a dataset consisting of over 8.4 million price points). Using a conditional logit model, we find that a systematic relationship exists between trends in odds and the accuracy of odds-implied event probabilities; the relationship is consistent with participants over-reacting to price movements. In particular, in different time segments of the market, increasing and decreasing odds lead, respectively, to under- and over-estimation of odds-implied probabilities. We develop a methodology to detect and correct the erroneous forecasts associated with these trends in odds in order to considerably improve the quality of forecasts generated in prediction markets.     

考虑码头内外堆场竞争的集装箱堆存定价模型

针对由于集装箱吞吐量增加造成翻箱成本增加与码头堆场拥堵,考虑内外堆场竞争,构建集装箱堆存定价模型,研究内外堆场竞争下的堆存定价决策和货主移箱决策,分析码头堆场操作成本、场外堆场运输成本、货主需求参数和码头堆场收益的内在关系。算例结果表明:一旦过了免费期立即移箱到场外堆场,货主成本最小。随着场外堆场运输成本的增加,码头堆场的堆存定价和箱量增加,提高码头堆场收益。随着码头堆场操作成本降低,码头堆场堆存价格随之下降,但码头堆存箱量增加,提高码头堆场收益。此外降低堆场定价对货主需求的影响参数以及提高运输成本对货主需求的影响系数,有利于提高码头堆场收益。     

Price markdown scheme in a multi-echelon supply chain in a high-tech industry

This paper studies the price markdown scheme in a supply chain that consists of a supplier, a contract manufacturer (CM), and a buyer (retailer). The buyer subcontracts the production of the final product to the CM. The CM buys the components from the supplier and charges the buyer a service fee for the final product produced. The price markdown is made possible by the supplier with the development of new manufacturing technologies that reduce the production cost for the sourced component. Consequently, the buyer adjusts the retail price in order to possibly stimulate stronger demand that may benefit both the supplier and the buyer. Under this scenario, we identify the optimal discount pricing strategies, capacity reservation, and the stocking policies for the supplier and the buyer. We also investigate the optimal inventory decision for the CM to cope with the price discount by considering both demand and delivery uncertainties. Our results suggest that higher production cost accelerates the effects of higher price sensitivity on lowering the optimal capacity and stocking policies in the supply chain. The effect of mean demand error on the optimal prices is relatively marginal compared with that from price sensitivity. We also found that increasing the standard deviation of the random demand does not necessarily increase the stocking level as one would predict. The results show that delivery uncertainty plays an important role in the inventory carried beyond the price break. We discuss potential extensions for future research.