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高校应用数学学报
高校应用数学学报  2015, Vol. 30 Issue (1): 91-100    
    
多损失条件风险值的多层规划模型
蒋敏, 孟志青
浙江工业大学 经贸管理学院, 浙江杭州 310023
A multi-level programming of multi-loss conditional value-at-risk model
JIANG Min, MENG Zhi-qing
College of Economics and Management, Zhejiang University of Technology, Hangzhou 310023, China
 全文: PDF 
摘要： 对于多个损失函数, 在给定的置信水平下, 首先定义了不超过给定损失值的最小风险值(即VaR值)和基于权值的累积期望损失值(即CVaR损失值)概念, 然后建立了一个多损失条件风险值的多层规划模型. 该模型的目标是求各层多损失CVaR值达最小的最优策略, 并证明了它等价于另一个较容易求解的多层规划模型. 最后, 给出了三级供应链中多产品的定价与订购的条件风险值模型(三层线性规划模型).
关键词： 多损失条件风险值;  多层规划;  最优解;  供应链    
Abstract: For a multi-loss function, at a given confidence level, the concepts of the loss value not exceeding a given minimum value at risk (VaR) and the corresponding cumulative expected loss value (i.e., the CVaR loss value) with the corresponding weight value level are introduced first. Then, a multi-level programming model of the multi-loss CVaR model is obtained. The goal of the model is to get an optimal strategy of the minimum CVaR value each level. This model can be solved more easily through another multi-level programming model to obtain the optimal solution. Finally, a multi-product pricing and ordering of a three-stage supply chain model (a tri-level linear programming model) is presented.
Key words: multi-loss conditional value-at-risk    multi-level programming    optimal solution    supply chain
收稿日期: 2013-09-02 出版日期: 2018-06-06
CLC:  O122.2  
基金资助: 国家自然科学基金(71001089); 浙江省自然科学基金(LY13G010003)
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蒋敏
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引用本文:

蒋敏, 孟志青. 多损失条件风险值的多层规划模型[J]. 高校应用数学学报, 2015, 30(1): 91-100.

JIANG Min, MENG Zhi-qing. A multi-level programming of multi-loss conditional value-at-risk model. Applied Mathematics A Journal of Chinese Universities, 2015, 30(1): 91-100.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2015/V30/I1/91

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