| 基于期货、期权与现货组合的采购决策和风险控制研究 |
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| 引用本文： | 陈晨,吴锋.基于期货、期权与现货组合的采购决策和风险控制研究[J].运筹与管理,2011,20(4). |
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| 作者姓名： | 陈晨 吴锋 |
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| 作者单位： | 西安交通大学管理学院,过程控制与效率工程教育部重点实验室,西安交通大学管理教学实验中心(国家级实验教学示范中心),陕西西安 710049 |
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| 基金项目： | 国家自然科学基金(71071126); 教育部新世纪优秀人才支持计划(NCET-08-0449) |
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| 摘 要： | 针对企业大宗原材料采购容易受到上游价格和下游需求的不确定性影响这一问题,本文以制造商(或分销商)多阶段采购决策为研究对象,建立了包含期货、期权和现货三种采购方式的多阶段组合采购决策模型,以此来应对采购中的价格风险和库存风险.结合某钢构厂原材料采购问题,采用蒙特卡罗仿真方法进行求解.通过对比组合方式与现货方式的求解结果,证明了组合采购方式能够在各种采购环境下为采购商带来更高更稳定的利润,所提出的组合采购决策模型能够有效的规避风险.
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| 关 键 词： | 采购 组合策略 蒙特卡罗仿真 期权合约 |
Procurement Decision and Risk Management Using Portfolio Approach:Based on long-term Contract, Options and Spot Procurement |
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| CHEN Chen,WU Feng.Procurement Decision and Risk Management Using Portfolio Approach:Based on long-term Contract, Options and Spot Procurement[J].Operations Research and Management Science,2011,20(4). |
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| Authors: | CHEN Chen WU Feng |
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| Institution: | CHEN Chen,WU Feng(School of Management,Xi'an Jiaotong University,The Key Lab of the Ministry of Education for Process Control & Efficiency Engineering,Experiment Center for the Teaching of Management Education,Xi'an Jiaotong University(Demo-center at State Level for Experiment Teaching),Xi'an 710049,China) |
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| Abstract: | Procurement of bulk materials is always susceptible to price volatility and uncertain demand.This paper studies the multi-stage procurement when materials' price and customer demand are uncertain,and proposes a multi-stage portfolio-based procurement model which includes long-term contract,option contract and spot procurement,to deal with the price and inventory risks.By using the Monte Carlo simulation method and comparing the numerical results,we prove that the portfolio approach can well address the vari... |
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| Keywords: | procurement portfolio strategy monte carlo simulation option contract |
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