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研究生： 曾欽聰
Chin-Tsung Tseng
論文名稱： 報童問題中零售商為風險趨避下之供應商決策
Decision Making of a Supplier Facing a Risk-Averse Retailer in the Newsvendor Problem
指導教授： 曾富祥
Fu-Shiang Tseng
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 工業管理研究所
Graduate Institute of Industrial Management
畢業學年度： 95
語文別： 英文
論文頁數： 57
中文關鍵詞： 批發價合約 、供應鏈管理 、風險趨避
外文關鍵詞： wholesale price contract, supply chain management, risk aversion
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    • 雖然供應鏈管理至今已經被廣泛且深入地探討，然而大部分的文獻均假設其供應鏈成員為風險中立者。實務上，供應鏈成員對風險可能有不同的感受，基於這個理由，我們結合供應鏈成員的風險喜好與具推式合約的報童模型。
    在推式合約中，零售商必須在銷售季節前預估需求並訂購產品，因此也承擔了整個供應鏈的存貨風險。所以我們考慮零售商為風險中立者或風險趨避者來分析此報童模型。當零售商為風險趨避者時，我們深入討論兩種情況，情況一為供應商做決策時不知道零售商為風險趨避者；情況二為供應商知道零售商為風險趨避者。我們想要了解零售商在情況一下之最佳訂購量與情況二下之最佳訂購量的關係，還有零售商之風險喜好的資訊是否影響供應商的利潤。
    我們發現情況一下之零售商最佳訂購量會少於當零售商為風險中立者時的最佳訂購量，但卻大於情況二下之零售商最佳訂購量。還有，當零售商為風險趨避者時，知道此資訊的供應商會比不知道此資訊的供應商得到較多利潤。我們也提供一份清單，顯示情況一下零售商的最佳訂購數量與其風險趨避參數的關係，來幫助供應商藉由對照此表來得知零售商對風險的感受程度。

    Although the supply chain management has been discussed generally and in depth, most of them are considered the agents in the supply chain risk neutral. In the practice, the supplier and retailer may have different attitudes toward risk. For this reason, we incorporate risk preference into the newsvendor model with a push contract.
    In a push contract, the retailer orders the entire supply before the selling season and bears all of the supply chain’s inventory risk. We analyze the (newsvendor) model by considering the retailer’s attitude toward risk, which is risk neutrality or risk aversion. If the retailer is risk averse, we further analyze two cases. In Case 1, the supplier makes a decision without knowing the retailer’s risk preference, and in Case 2, we consider the opposite situation that the supplier knows the retailer’s risk attitude and makes the corresponding decision. We want to realize the relationship between the retailer’s optimal order quantities in Case 1 and the ones in Case 2, and whether the information of the retailer’s risk attitude affects the supplier’s profit.
    We find out that the retailer’s optimal order quantity in Case 1 is smaller than the optimal order quantity as the retailer is risk neutral but bigger than the optimal order quantity in Case 2. Furthermore, the supplier facing a risk-averse retailer gets more profit if he knows the retailer’s risk preference. We also provide a menu to show the relationship between the retailer’s optimal order quantity and risk-averse parameter to help the supplier making a better decision.

    Chinese abstract i English abstract ii Contents iv The contents of figures vi The contents of tables vii 1 Introduction 1 1.1 Background/Motivation 1 1.2 Research objectives 5 1.3 Thesis framework 6 2 Literature review 8 2.1 Newsvendor problem 8 2.2 Risk preference 10 3 Model and analysis 16 3.1 A risk-neutral retailer 18 3.2 A risk-averse retailer 19 4 Numerical example 26 5 Sensitivity analysis and information menu 33 5.1 Sensitivity analysis 33 5.2 Information menu 39 6 Conclusion and future research 41 6.1 Conclusion 41 6.2 Future research 42 References 43 Appendix 46 A1. Prove that Π(q) is concave. 46 A2. Prove that the risk-neutral retailer’s profit is concave in q. 46 A3. Prove that the risk-averse retailer’s profit is concave in q. 46 A4. Prove that w given the supplier knows the risk-averse retailer is risk averse is strictly decreasing in q. 47 A5. Prove that the risk-averse retailer’s profit in terms of q given that the supplier knows the retailer is risk averse is increasing in q. 48 A6. Prove that equation (8) is unimodal. 49 A7. Proofs of Propositions. 50 A7.1. Proof of Proposition 1. 50 A7.2. Proof of Proposition 2. 51 A7.3. Proof of Proposition 3. 52 A7.4. Proof of Proposition 4. 57

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