Option tools create a new model of supply chain collaboration which enables suppliers and retailers jointly to be liable for the risks of market uncertainty. Traditional supply chain researches assume that both parties are mainly risk neutral. However, different managers have different needs for risk in practice. Application of Conditional Value at Risk (CVaR) can weigh the scale of risk and reflect the risk appetite. The decision-making objective function is modified on the basis of the approach and a model of option contract in a two-level supply chain. The chain consisting of a single retailer and a single supplier is build under stochastic demands. Obtaining the optimal amount of the retailer's option by analyzing the models, the paper reveals that the risk attitude has a significant impact on the optimal amount of call options and revenue, that is, the higher degree of risk aversion, the smaller order volume and revenue. A numerical example is provided to verify the conclusions drawn in this paper.
YE Liang, SONG Guo-fang, WANG Jian
. Order Models for Call Option of Retailers Based on Risk Appetite[J]. Journal of Shanghai University, 2012
, 18(6)
: 656
-660
.
DOI: 10.3969/j.issn.1007-2861.2012.06.020
［1］RITCHKEN P H, TAPIERO C S. Contingent claims contracting for purchasing decisions in inventory management ［J］. Operations Research, 1986, 34(6):864-870.
［2］SCHUSTER D B, BASSOK Y, ANUPINDI R. Coordination and flexibility in supply contracts with options ［J］. Manufacturing and Service Operations Management, 2002, 4(3):171-207.
［3］SPINLER S, HUCHZERMEIER A, KLEINDORFER P. Risk hedging via options contracts for physical delivery ［J］. OR Spectrum, 2003, 25:1-17.
［4］CACHON G P, ZHANG F. Procuring fast delivery: sole sourcing with information asymmetry ［J］. Management Science, 2006, 52(6):881-896.
［5］陈旭.考虑期权合同供应链的零售商订货研究［J］.管理科学学报,2006,9(3):17-23.
［6］宁钟,林滨.供应链风险管理中的期权机制［J］.系统工程学报,2007,22(2):141-147.
［7］〖JP2〗AGRAWAL V, SESHADRI S. Risk intermediation in supply chains ［J］. IIE Transactions, 2000, 32:819-831.
［8］TSAY A. Risk sensitivity in distribution channel partnerships: implications for manufacturer return 〖JP3〗policies ［J］. Journal of Retailing, 2002, 78(2):147-160.
［9］BUZACOTT J, YAN H, ZHANG H. Risk analysis of commitment-option contracts with forecast updates ［R］. Canada: York University, 2004.
［10］ 于春云,赵希男,关志民,等.具有风险偏爱特性的供应链优化和协调模型［J］.系统工程,2009,27(11):69-76.
［11］ 〖JP〗ROCKAFELLAR R, URYASEV S. Optimization of conditional 〖JP〗value-at-risk ［J］. Journal of Risk, 2000(2):21-42.
［12］ URYASEV S. Condition value-at-risk: optimization algorithms and applications ［J］. Financial Engineering News, 2000(4):1-4.
［13］ 胡本勇,王性玉,彭其渊.考虑决策风险偏好的期权销量担保模型［J］.管理评论,2009,21(5):121-128.
［14］ 郭琼,杨德礼,迟国泰.基于期权的供应链契约式协调模型［J］.系统工程,2005(10):1-6.
