Impact of risk aversion on optimal decisions in supply contracts

Jun Wu; Shouyang Wang; Xiuli Chao; Chi To Ng; Edwin Tai Chiu Cheng

doi:10.1016/j.ijpe.2010.04.049

Impact of risk aversion on optimal decisions in supply contracts

Jun Wu, Shouyang Wang, Xiuli Chao, Chi To Ng, Edwin Tai Chiu Cheng

Research output: Journal article publication › Journal article › Academic research › peer-review

72 Citations (Scopus)

Abstract

We introduce the concept of conditional value-at-risk as the evaluation criterion in a supply contract model. We first derive the manufacturer's optimal decisions and then analyze the impact of risk aversion on the manufacturer's decisions. We follow by conducting numerical experiments to observe how the manufacturer's risk attitude affects his decisions. We obtain results that characterize the explicit relationship between the manufacturer's risk attitude and his optimal decisions. We also show the dependence of the decision variables on the price and cost parameters, which is seldom given in the literature.

Original language	English
Pages (from-to)	569-576
Number of pages	8
Journal	International Journal of Production Economics
Volume	128
Issue number	2
DOIs	https://doi.org/10.1016/j.ijpe.2010.04.049
Publication status	Published - 1 Dec 2010

Keywords

Conditional value-at-risk
Risk analysis
Supply chain management

ASJC Scopus subject areas

General Business,Management and Accounting
Economics and Econometrics
Management Science and Operations Research
Industrial and Manufacturing Engineering

More information

10.1016/j.ijpe.2010.04.049

Cite this

@article{52c2530b7b834720bcbea1f27fcdf695,

title = "Impact of risk aversion on optimal decisions in supply contracts",

abstract = "We introduce the concept of conditional value-at-risk as the evaluation criterion in a supply contract model. We first derive the manufacturer's optimal decisions and then analyze the impact of risk aversion on the manufacturer's decisions. We follow by conducting numerical experiments to observe how the manufacturer's risk attitude affects his decisions. We obtain results that characterize the explicit relationship between the manufacturer's risk attitude and his optimal decisions. We also show the dependence of the decision variables on the price and cost parameters, which is seldom given in the literature.",

keywords = "Conditional value-at-risk, Risk analysis, Supply chain management",

author = "Jun Wu and Shouyang Wang and Xiuli Chao and Ng, {Chi To} and Cheng, {Edwin Tai Chiu}",

year = "2010",

month = dec,

day = "1",

doi = "10.1016/j.ijpe.2010.04.049",

language = "English",

volume = "128",

pages = "569--576",

journal = "International Journal of Production Economics",

issn = "0925-5273",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

T1 - Impact of risk aversion on optimal decisions in supply contracts

AU - Wu, Jun

AU - Wang, Shouyang

AU - Chao, Xiuli

AU - Ng, Chi To

AU - Cheng, Edwin Tai Chiu

PY - 2010/12/1

Y1 - 2010/12/1

N2 - We introduce the concept of conditional value-at-risk as the evaluation criterion in a supply contract model. We first derive the manufacturer's optimal decisions and then analyze the impact of risk aversion on the manufacturer's decisions. We follow by conducting numerical experiments to observe how the manufacturer's risk attitude affects his decisions. We obtain results that characterize the explicit relationship between the manufacturer's risk attitude and his optimal decisions. We also show the dependence of the decision variables on the price and cost parameters, which is seldom given in the literature.

AB - We introduce the concept of conditional value-at-risk as the evaluation criterion in a supply contract model. We first derive the manufacturer's optimal decisions and then analyze the impact of risk aversion on the manufacturer's decisions. We follow by conducting numerical experiments to observe how the manufacturer's risk attitude affects his decisions. We obtain results that characterize the explicit relationship between the manufacturer's risk attitude and his optimal decisions. We also show the dependence of the decision variables on the price and cost parameters, which is seldom given in the literature.

KW - Conditional value-at-risk

KW - Risk analysis

KW - Supply chain management

UR - http://www.scopus.com/inward/record.url?scp=77958601725&partnerID=8YFLogxK

U2 - 10.1016/j.ijpe.2010.04.049

DO - 10.1016/j.ijpe.2010.04.049

M3 - Journal article

SN - 0925-5273

VL - 128

SP - 569

EP - 576

JO - International Journal of Production Economics

JF - International Journal of Production Economics

IS - 2

ER -

Impact of risk aversion on optimal decisions in supply contracts

Abstract

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this