Optimal Option Ordering Strategies for Capital-Constraint Retailers Based on CVaR

DOI

10.2991/icmia-16.2016.30How to use a DOI?

Keywords

Supply chain, CVaR, Option contract, Capital constraint, Ordering strategies.

Abstract

For a two-stage supply chain system which consists of a supplier and a retailer with capital constraint, the supplier provides the retailer with option contract. By establishing the ordering model under option contract for the retailer with capital constraint based on CVaR, the optimal order of retailers with different risk aversion is derived. The order changes of retailers under different risk aversion are analyzed, and the impacts of contract parameters and interest rate on optimal decisions are discussed. The results show that the optimal fixed order quantity and option order quantity of retailers are related to the degree of risk aversion, interest rate and retailer's capital on hand and contract parameters. At last, numerical examples are provided to demonstrate the results.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Dan-Feng Wang
AU  - Wen-Sheng Yang
PY  - 2016/11
DA  - 2016/11
TI  - Optimal Option Ordering Strategies for Capital-Constraint Retailers Based on CVaR
BT  - Proceedings of the 2016 5th International Conference on Measurement, Instrumentation and Automation (ICMIA 2016)
PB  - Atlantis Press
SP  - 166
EP  - 169
SN  - 1951-6851
UR  - https://doi.org/10.2991/icmia-16.2016.30
DO  - 10.2991/icmia-16.2016.30
ID  - Wang2016/11
ER  -