Pricing And Ordering Strategy Of Supply Chain With Risk Aversion

Tradtional research on supply chain management mainly focuses on the risk-neutral case, that is, the objective of the decision-maker is to maximize the expected profit (or minimize the expected cost). However, the research and practice on supply chain management in recent years shows that, the decision-maker conerns not only the maximization of the expected profit, but the possibility of realizing the expected profit and the risk that may occurs. So, under the assumption that the decision-maker is risk averse, through an approach combining the quantitative model and qualitative analysis, this dissertation studies the pricing and ordering policies of the supply chain and the effect of the risk aversion on the supply chain. The main research contents and results are as following:1) The optimal policy of a two-echelon supply chain is considered when the retail price of the commodity is exogenously given. Firstly, with conditionally risk-at-value(CVaR) as a risk measure of the risk averse retailer, we consider the ordering policy of the retailer, and therefore the pricing policy of the upstream supplier, under the objective of maximizing a combination of the expected profit and CVaR, which reflects the desire of the risk-averse decision maker to maximize the profit on one hand, and minimize the downside risk of his profit on the other hand. In a decentralized mode, the retailer faces solely the market risk of the stochastic demand, therefore chooses to decrease the ordering quantity to avoid the risk, which leads to an incoordination of the supply chain, moreover, the risk aversion aggravates the inefficiency. Based on the above research, with sharing risk of the retailer as a breakthrough point, we propose a buy-back contract to coordinate the supply chain. At last, in the event that the supplier is uncertain about the degree of the retailer's risk aversion, we study the optimal policy of the supply chain and get that the supplier's expected profit must be less than that in the certain case, which implies the value of information.2) When the retail price is an endogenous variable and the stochastic demand is price-dependent, the optimal policy of a two-echelon supply chain is considered. Here we study two kind of combination of the mean demand depending on the retail price and the stochastic factor independent on the retail price:one is multiplicative mode, the other is additive mode, in the background of risk neutral and risk averse respectively. For many unsold commodities still own its salvage value, we propose a concept of price elasticity with respect to salvage value(PES) of the demand and demonstrate the existence and uniqueness of the optimal strategy under the condition of increasing price elasticity with respect to salvage value(IPES), which provides a theoretical foundation for one dimensional search for the optimal solution. The research shows that the optimal ordering quantity of the retailer in the decentralized mode will be less than that in the centralized case, while charges a higher retail price in the decentralized model than in the centralized case. Lastly, based on the price-dependent nature and stochastic nature of the price-dependent stochastic demand, we propose the allocation of the profit of the supply chain depending on the contest of the second-move advantage of the retailer resulting from the price-dependent nature and the first-move advantage of the supplier resulting from the stochastic nature, and demonstrate it through a numerical analysis.3) Firstly, we consider a two-period optimal producing policy of a firm in the background of risk neutral and risk averse respectively, where the risk is measured by CVaR, and therefore the effect of the risk aversion on the firm through numerical analysis. The result shows that, when the degree of the risk aversion is increasing, that is the firm pay more attention on the "low profit", the firm becomes too conservative and order less quantity which leads to less expected profit. Then, based on the Bayesian information updating, we consider a multi-period ordering strategy, which shows that the optimal bayesian inventory level will be always higher than the optimal myopic inventory level, when the firm's objective is maximizing the negative exponential utility function.4) A multi-period two-echelon supply chain consisting of a supplier and a retailer is considered, where every decision maker concerns not only the game between the upstream and downstream of the supply chain on the structure dimension, but also the multi-period dynamic decision on the time dimension. Combining the dynamic programming approach and the backward induction approach of the dynamic games, we study the optimal policy of the supplier and the retailer in the background of risk neutral and risk averse respectively. We make a comprison analysis for the corresponding policy of the centralized and the decentralized mode. At last, the effect of the risk aversion on the supply chain is considerd through numerical analysis.In this dissertation, some innovations are made in the following four aspects:1) Under the circumstances of a supply chain, with "profit-CVaR" as the objective of the risk averse retailer, we consider the ordering policy, and therefore the effect on the upstream supplier's pricing decision, which shows that the efficiency of the supply chain decreases with the increasing of the risk aversion factor of the retailer and the weight of CVaR. And as the supplier is uncertain about the degree of the retailer's risk aversion, the optimal policy of the supply chain is considered. The research shows that the uncertainty of the supplier about the degree of the retailer's risk aversion will results in the decreasing of the supplier's expected profit and "unbiased forecast" on the. expected profit.2) A new concept of the price elasticity with respect to salvage value(PES) is proposed. Under the condition of increasing price elasticity with respect to salvage value (IPES), we demonstrate the existence and uniqueness of the optimal strategy which provides a theoretical foundation for one dimensional search for the optimal solution.3) Based on the price-dependent nature and stochastic nature of the price-dependent stochastic demand, we propose the allocation of the profit of the supply chain depending on the contest of the second-move advantage of the retailer resulting from the price-dependence nature and the first-move advantage of the supplier resulting from the stochastic nature.4) A multi-period supply chain problem with risk averse decision maker, and therefore the effect of the risk aversion on the supply chain is studied, which shows that in the background of multi-period, the efficiency of the supply chain in decentralized mode must be less than that in centralized mode, and decreases with the increasing of the retailer's risk aversion factor.