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研究生： 李岳翰
Yueh-han Lee
論文名稱： 供應鏈管理系統合約在資本資產訂價模式下之分析
Analysis of Supply Chain Management Systems Contracts using Capital Asset Pricing Model
指導教授： 陳振明
Jen-ming Chen
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： 65
中文關鍵詞： 供應鏈批發價合約 、資本資產訂價模式
外文關鍵詞： Capital Asset Pricing Model(CAPM), supply chain wholesale price contract
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    • 本文探討供應鏈管理系統之批發價合約在面對市場風險變化環境之下，利用資本資產訂價模式研究各種合約對供應鏈及其成員之影響。我們設計一條供應鏈，包含一個供應商以及一個零售商。在三種批發價合約方式: Push、Pull，以及Advance-purchase discount 下，供應商只有一次生產商品機會的情形下，求出各種合約下供應鏈最大隨機型折現之現金流量、供應商最佳生產數量，及零售商最佳之預購(prebook)數量。
    本文目標是考慮三種供應鏈批發價合約在考慮市場風險的情形下，檢定來自市場的利益是如何分配在各成員上，並討論供應商最佳之生產數量給予供應商在生產決策之用。在數值分析方面，我們求得在Advance-purchase discount 合約下，整條供應鏈會產生最大之現金流量。在敏感度方面，本文選擇prebook 與at-once 批發價價格組合，市場風險，無風險利率等因子變化來討論整條供應鏈及各成員表現之變化情形。

    This thesis extends Inderfurth and Schefer’s finding of Capital Asset Pricing Model (CAPM) in the environment of current supply chain wholesale price contracts.These supply chain wholesale price contracts are: push, pull, and advance-purchase discount contracts. We investigate performance of supply chain members under wholesale price contracts when facing the market risk change. The supplier has only one opportunity to produce inventory before the selling season. We examine the CAPM methodology to calculate the stochastic cash flows of the supplier and the
    retailer for push, pull, and advance-purchase discount contracts. By these above procedures, we will find out the supplier’s optimal production quantity to maximize cash flows of each three supply chain contract. Also, advance-purchase discount contract will obtain largest total discounting value out of three contracts. In the numerical experiment, we analyze how wholesale prices sets, market value per unit of risk, and risk-free interest rate affect the cash flows of the supply chain and each member, and find out the supplier’s optimal production quantity for three wholesale prices contracts.

    ABSTRACT ................................................ I CONTENTS .............................................. III THE CONTENT OF FIGURES .................................. V THE CONTENT OF TABLES .................................. VI CHAPTER 1 INTRODUCTION .................................. 1 1.1 BACKGROUND/MOTIVATION ............................... 1 1.2 RESEARCH OBJECTIVES ................................. 4 1.3 THESIS FRAMEWORK .................................... 5 CHAPTER 2 LITERATURE REVIEW ............................. 7 2.1 CAPITAL ASSET PRICING MODEL ......................... 7 2.2 SUPPLY CHAIN WHOLESALE PRICE CONTRACTS ............. 12 CHAPTER 3 MODEL DEVELOPMENT ............................ 18 3.1 PROBLEM DESCRIPTION ................................ 18 3.2 CASH FLOWS ANALYSES ................................ 20 3.2.1 Single-period analysis ........................... 20 3.2.2 Multi-period and infinite period analyses ........ 22 3.3 SCENARIO SETTINGS OF SUPPLY CHAIN CONTRACTS ........ 23 3.4 INTEGRATED SUPPLY CHAIN ............................ 24 3.5 PUSH ............................................... 25 3.6 PULL ............................................... 27 3.7 ADVANCE-PURCHASE DISCOUNT .......................... 29 CHAPTER 4 NUMERICAL EXPERIMENTS ........................ 31 4.1 SOLUTIONS TO NUMERICAL EXPERIMENTS ................. 31 4.2 ANALYSES OF SENSITIVITY ............................ 38 4.2.1 Analyses of differences between members’ discounting values ..................................... 39 4.2.2 Performances of the supply chain among different risks ..................................................... 42 4.2.3 Performances of overall supply chain between different risk-free interest rates ................. 44 CHAPTER 5 CONCLUSIONS ........................................................................................................... 47 REFERENCES .................................................................................................................................... 49 APPENDIX .......................................................................................................................................... 52 IV APPENDIX A: ANALYSIS OF SINGLE-PERIOD CASH FLOW .................................................................... 52 APPENDIX B: RESULTS OF NUMERICAL EXPERIMENTS ........................................................................ 54

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