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条件风险值模型是风险管理中的一种重要工具.文章研究了一种具有上下层决策的多损失条件风险值模型,引入了基于权值的多个损失函数下的α-VaR损失值(最小风险值)和α-CVaR损失值(最小风险值对应的条件期望损失值或条件风险价值度量)概念,提出了基于权值的双层多损失条件风险值模型,该模型的目标是求上下层的基于权值的多损失α-CVaR达最小的最优解,并证明了它可以通过另一个较容易求解的双层规划模型获得最优解.最后,给出含一个制造商与零售商的供应链关于一种产品的定价与订购的双层条件风险值模型,该模型可以求出供过于求和供不应求风险最小下的制造商最小批发价和零售商最优订购量.
Conditional risk value model is an important tool in risk management.This paper studies a multi-loss risk model with upper and lower layers decision-making and introduces the α-VaR loss under the multiple loss functions based on weights Risk value) and α-CVaR loss value (condition expected loss value or conditional risk value measure corresponding to the minimum risk value), a double-layer multi-loss risk value model based on weight is proposed. The goal of this model is to find the upper and lower layers Weight-based multi-loss α-CVaR and prove that it can get the optimal solution through another bilevel programming model that is easier to solve.Finally, we give the optimal solution with a manufacturer-retailer Supply Chain A two-level conditional risk model for pricing and ordering products that finds the minimum wholesale price for the manufacturer and the optimal quantity ordered by the retailer for the supply of oversupply and supply-demand risks.