Research On Random Storage Strategy Based On Conditional Value-at-Risk

The supply chain risk management is receiving increasing attention, this is because some of the decision-makers in the supply chain are not only concerned about their expectations of the profit maximization or the cost minimization, but also want to not be in high risk. This relates to the issue of the risk-averse. Traditionally, the model of the supply chain considers the optimization of the expectations of profit or cost in a certain period of time. For the purposes of the risk-neutral decision-makers, they are not sensitive to the changes in the cost or the profit, this method is more appropriate. But when the decision-makers are risk averse, the expectation criteria is no longer fit on.In real life, many risk managers try to avoid the risk, and they hope to trade-off the expectations of profits and risks to avoid greater losses. Therefore, when the decision-makers in the supply chain are risk averse, introducing the criteria to measure the risk aversion is a very natural way.Whether to produce or to sale, the enterprises in the supply chain are required to purchase a bulk order and a variety of raw materials and commodities. There is a question of how to store, whether raw materials or commodities, Therefore the establishment of an effective storage model can help manufacturers to better control costs, ensure the normal operation of the chain of funds.The previous studies focus on various aspects of the traditional storage model of the amendment, but neglect to improve the measurement of the risk. In this paper, the innovative financial instruments-CVaR method will be applied to the field of the supply chain management. It expands the CVaR applications and solves the situation of the lack of quantitative research in the storage model. The specific researches in this article include: First of all, through the overview of the domestic and international supply chain risk management, point out that the existing research on risk management is still lack of the quantitative research.Secondly, after introduce the relevant theory of the supply chain risk, supply chain risk management and financial instruments-VaR and CVaR, analyze the feasibility of the application of the CVaR method to the risk management of the random storage.Finally, introduce the CVaR method into a random storage management and establish the model of the random storage based on the CVaR, and solve the model. Through compared to the conditional storage model, the advantages of the new model can be seen.