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A PRICE-SETTING newsvendor model UNDER CVAR DECISION CRITERION WITH EMERGENCY PROCUREMENT

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Journal of Systems Science and Systems Engineering 2010年第1期19卷 85-104页

作者： Minghui XU School of Economics and Management,Wuhan University,Wuhan 430072,China School of Economics and Management Wuhan University Wuhan China

In this paper, we consider a newsvendor model in which a risk-averse manager faces a stochastic price-dependent demand in either an additive or a multiplicative form. An emergency purchase option is allowed after the realization of demand to satisfy the units that are short. By adopting Conditional value-at-risk （CVaR） as the decision criterion, we aim to investigate the optimal pricing and ordering decisions, and the effects of parameter changes in such a setting. We provide sufficient conditions for the uniqueness of the optimal policy for both demand models. We perforl~, comparative statics analysis to show how the optimal pricing and ordering decision behaves when changing parameters. We also compare our results with those of the newsvendor with a general utility function and with CVaR criterion under lost sales assumption. Our key results include：（i） For both demand models, the optimal selling price is decreasing in risk aversion. Hence, the optimal price of a risk-averse newsvendor is not greater than the optimal price of a risk-neutral newsvendor. （it） In contrary to the lost sales case, for the multiplicative demand model, the optimal order quantity may not be monotonic in risk aversion. Consequently, the optimal risk-averse order quantity may be lower or higher than the optimal risk- neutral counterpart. （iii） For the additive model, the optimal order quantity is strictly increasing in the emergency purchase price, while for the multiplicative model the optimal order quantity has no such a monotonic property. Some numerical examples are conducted to verify our claims and gain more insights about the risk-averse decision-making behaviors.

关键词： newsvendor model inventory pricing risk aversion conditional value-at-risk

A RISK-AVERSE newsvendor model WITH LIMITED CAPACITY AND OUTSOURCING UNDER THE CVAR CRITERION

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Journal of Systems Science and Systems Engineering 2015年第1期24卷 49-67页

作者： Zhenwei Luo Jinting Wang Wanting Chen Department of Mathematics School of ScienceBeijing Jiaotong University

For seasonal products, the retailers usually launch various marketing ettorts, llKe aaverusmg tmu promotion, to promote them in a selling season. While facing large demand from the customers, one should take the capacity constraint and outsotlrcing into consideration. Considering the shorten life cycles of most products, in this paper we adopt the traditional newsvendor model to investigate the optimal marketing effort along with optimal order quantity. We address the risk aversion issue and characterize the influence of the sellers＇ risk propensity with CVaR criterion, and we develop an effective algorithm to obtain the optimal strategy. The impact of sellers＇ risk propensity on the performance of the system is illustrated via numerical examples, The innovation of this paper is threefold. First, the optimal joint strategy of the marketing effort and order quantity is investigated and an efficient algorithm to find the optimal strategy is developed. Second, the capacity constraint option and an outsourcing strategy are studied jointly for excess products. Finally, the risk propensity of the seller and its influence are investigated by using the CVaR criterion, through which we obtain some new managerial insights.

关键词： newsvendor model marketing effort order quantity CVaR capacity constraint,outsourcing

The newsvendor model revisited： the impacts of high unit holding costs on the accuracy of the classic model

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Frontiers of Business Research in China 2018年第2期12卷 141-154页

作者： Shaolong Tang Stella Cho Jacqueline Wenjie Wang Hong Yan Division of Business and Management Beijing NormalUniversity-Hong Kong Baptist University United International College 2000 JinTong RoadTangjiawan Zhuhai Guangdong China

The newsvendor problem has been applied in various business settings. It is often assumed that the decision variable, i.e., order-up-to level, has no impacts on the holding costs for average inventory cycled in a given period, which is the difference between beginning and ending inventory levels on hand in that period. The average holding cost for this portion of inventory is conveniently and approximately calcutated as half the product of the unit holding cost and the expectation of the demand in one period if it is assumed that the inventory is approximately evenly consumed. It is a good approximation when the unit holding cost is significantly lower than the unit backorder cost as this optimal solution to inventory level is able to guarantee a low probability of understocking. However, if this condition does not hold, the approximation may deviate from the actual cost and cannot measure the expected holding cost for this portion of inventory. This paper examines the impact of the cycle stock holding cost on the newsvendor model and the conditions under which this portion of cost is not negligible.

关键词： newsvendor model Inventory control Stochastic model

MANUFACTURER'S UNIFORM PRICING AND CHANNEL CHOICE WITH A RETAIL PRICE MARKUP COMMITMENT STRATEGY

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Journal of Systems Science and Systems Engineering 2014年第1期23卷 111-126页

作者： Huihui Liu Ming Lei Xiangdong Liu Guanghua School of Management Peking University China Center for International Economic Exchanges

The paper studies channel choice decisions in a multi-channel supply chain under a strategy where there is an ex-ante commitment made on the retail price markup. The market demand is uncertain and dependent on the price and sales efforts. The results show that in any channel structure, when making order decisions the retailer only examines the price ratio and the fluctuation size of random demand, rather than the channel cost and the retailer＇s marketing efficiency. When the retail price rises, the manufacturer is willing to increase inventory quantity for direct sales, because the manufacturer＇s profit margin is higher in direct channel. The increase in demand fluctuation only affects the degree of channel preference but doesn＇t change the manufacturer＇s channel choice. No matter in which level the price ratio is, when the sales efficiency of retail channel is not high or the demand proportion of direct channel is low, the manufacturer and the retailer will be both apt to choose a dual-channel structure. Then adding a direct channel becomes a marketing strategy, rather than a competitor of the retail channel, and helps the supply chain win more market demand.

关键词： Uniform pricing marketing/sales effort channel choice newsvendor model dual channelsupply chain

Comparative Analysis of Optimal Strategies with Two Purchase Modes under Different Risk-Averse Criterions

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Wuhan University Journal of Natural Sciences 2009年第4期14卷 287-292页

作者： XU Minghui LI Jianbin School of Economics and Management Wuhan UniversityWuhan 430072 Hubei China School of Management Huazhong University of Scienceand Technology Wuhan 430074 Hubei China

Consider a risk-averse newsvendor who has an option to purchase the units that are short at an emergency purchase price after demand is realized. We use the conditional value-at-risk （CVaR） as the risk measure. The aim of the study is to investigate the optimal ordering decision in such a setting under CVaR only and mean-CVaR criterions. For each case, we derive the closed-form optimal solution and perform comparative statics to show the monotonicity properties and other characteristics of the optimal decisions. We also compare our results with those of risk-neutral newsvendor.

关键词： newsvendor model risk aversion two purchase modes conditional value-at-risk (CVaR)

GROUP-BUYING ONLINE AUCTION AND OPTIMAL INVENTORY POLICY IN UNCERTAIN MARKET

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Systems Science and Systems Engineering 2004年第2期13卷 202-218页

作者： JianCHEN YunhuiLIU XipingSONG SchoolofEconomicsandManagementTsinghuaUniversity Beijing100084P.R.China DepartmentofSystemEngineeringandEngineeringManagementTheChineseUniversityofHongKong ShatinNTHongKongP.RChina

In this paper we consider a group-buying online auction (GBA) model for a monopolistic manufacturer selling novel products in the uncertain market. Firstly, we introduce the bidder's dominant strategy, after which we optimize the GBA price curve and the production volume together. Finally, we compare the GBA with the traditional posted pricing mechanism and find that the GBA is highly probable to be advantageous over the posted pricing mechanism in some appropriate market environments.

关键词： Group-buying auction newsvendor model demand uncertainty

COMPARATIVE ANALYSIS ON TRADITIONAL PROCUREMENT AND E-PROCUREMENT STRATEGY OF SUPPLY CHAIN

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Journal of Systems Science and Systems Engineering 2005年第4期14卷 495-503页

作者： Guangshu CHANG Jichao XU Jianfeng YANG Jinfeng HE Li ZHANG Zhengzhou Institute of Aeronautics Zhengzhou 450015 China Management School Northwestern Polytechnical University Xi'an 710072 China

With increasingly intense competition between enterprises, the realization of advanced supply chain management has become an exquisite premise for the survival of firms. Procurement management is an important means to reduce costs and to enhance the competitive advantage. By exploiting the single period newsvendor model, this paper analyses and compares the benefit mechanisms of e-procurement and traditional procurement to quantify the effect of the Internet on supply chain procurement management in a neutral e-market.

关键词： Supply chain procurement management e-procurement newsvendor model

需求不确定环境下多个零售商竞争的鲁棒随机优化模型

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