基于CVaR理论的原油采购策略研究被引量：3

Study of crude oil purchasing strategy based on CVaR theory

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摘要在采购原油过程中,企业除了控制采购成本,还需控制潜在风险损失。文章利用金融领域的条件风险价值理论度量企业面临的潜在风险损失,结合随机规划理论构建了一个两阶段的原油采购决策模型,并结合我国原油进口实际进行了算例分析,分析结果对指导企业原油采购及风险控制具有参考意义。 In the process of crude oil purchasing,the enterprises need to control the potential risk loss besides the purchase cost.By using the theory of conditional value-at-risk（CVaR） in the financial field,the potential risk loss which the enterprises face is measured,and a two-stage decision model of crude oil purchasing is constructed by using the stochastic programming theory.Then a numerical example is given based on the actual situation of Chinese crude oil import,and the results have referential value in crude oil purchasing and risk controlling.

作者尤志文焦建玲

机构地区合肥工业大学管理学院

出处《合肥工业大学学报（自然科学版）》 CAS CSCD 北大核心 2012年第5期694-699,共6页 Journal of Hefei University of Technology：Natural Science

基金国家自然科学基金资助项目(70971034) 安徽省自然科学基金资助项目(090416243)

关键词条件风险价值随机规划原油采购 conditional value-at-risk（CVaR） stochastic programming crude oil purchasing

分类号 F832.332 [经济管理—金融学]

作者简介尤志文（1986-），男，安徽太湖人，合肥工业大学硕士生；焦建玲（1966-），女，安徽黄山人，博士，合肥工业大学教授，硕士生导师．

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