不确定环境下引入金融对冲的库存决策模型及其优化研究

In the process of real inventory decisions, firms are faced with some risks related to mismatch of supply and demand, price variability and so on. In order to mitigate the risks, the existing works present varieties of methods such as product flexibility, postponed flexibility, information sharing to reduce the price variability or avoid the loss. Since the demands of the products of some firms are correlated with the price of a financial asset, it provides a theoretical basis for using financial instruments to hedge demand risk and inventory risk. This is so called financial hedging which is different from the above operational hedging strategies. This project addresses the inventory decision-making problem in which the demands of products are correlated with the financial market, and considers using financial hedging as a means of avoiding.risks. Further, this project formulates the inventory models to simultaneously optimize inventory level and hedging strategies, and investigates the role of financial hedging and the impact on the inventory decisions. This project analyzes and models varieties of newsvendor environments and two-echo supply chains according to three dimensions including the risk preferences of decision-makers, uncertainties inherent in the reality and decision criteria. And complex inventory models are formulated to gradually close to the reality. Based on the properties of the problem and the characteristics of the proposed inventory models, we use a variety of heuristic methods to solve and compare the optimal strategy to provide meaningful insights for practical inventory decisions in uncertain environment.

企业在实际库存决策过程中面临着供需不匹配、商品价格剧烈波动等风险因素。为了降低风险，现有研究提出产品柔性、延迟柔性、信息共享等各种手段以稳定收益或避免损失。不同于这些运作对冲策略，由于许多企业的产品需求和金融资产价格之间存在着相关性，这便为使用金融工具对冲需求风险及库存风险等提供了理论依据，即所谓的金融对冲。本项目针对产品需求和金融市场相关的库存决策问题，运用金融对冲作为回避风险的手段，建立库存水平和对冲策略同时最优化的库存模型，以探讨金融对冲的作用及对库存决策的影响等。围绕各类报童环境和两级供应链的问题结构，分别从决策者的风险偏好类型、现实环境蕴含的不确定性形式、决策准则等三个维度进行分析与建模，逐步形成复杂但更接近实际的库存决策模型。根据问题的属性和所建库存模型的特点，采用多种启发式方法求解并对比分析最优的策略，为实践中不确定环境下的库存决策提供有意义的管理启示。

企业在实际运营管理中面临着供需不匹配、商品价格剧烈波动等风险因素，从而需要在复杂不确定环境下进行管理决策。本项目聚焦于产品需求和金融资产相关的库存决策等相关问题，综合运用管理科学、统计学、不确定理论与风险决策理论等方法，分别从决策者的风险偏好类型、现实环境蕴含的不确定性形式、决策准则等维度进行了深入的理论研究，并根据问题属性和所建模型特点设计了多种启发式方法进行数值分析。本项目通过给出数据不充分时障碍期权的定价公式和用于需求预测的区间数据回归分析与时间序列模型等，夯实了不确定性与库存管理的建模基础；围绕不确定环境的枢纽选址与库存决策问题，构建了含有机会约束的不确定规划模型，并扩展至考虑部分覆盖、可持续性、失效风险等现实情景的复杂模型；研究了竞合供应链的融资策略与渠道溢出效应，提出了基于供应链合作的库存成本降低策略等，并结合国内外发展做了延伸研究。项目组在为期四年的研究中，共发表了18篇标注课题资助的SCI/SSCI检索期刊论文，主要分布在国内外运筹管理及其他交叉学科领域的重要学术期刊上，参加国内外学术会议45人次，培养毕业1名博士和9名硕士。