Designing and planning of closed-loop supply chains for risk and economical optimization

Designing and planning of closed-loop supply chains for risk and economical optimization

,DQ'DYLG/RFNKDUW%RJOHDQG0LFKDHO)DLUZHDWKHU (GLWRUV 3URFHHGLQJVRIWKHQG(XURSHDQ 6\PSRVLXPRQ&RPSXWHU$LGHG3URFHVV(QJLQHHULQJ...

169KB Sizes 1 Downloads 82 Views

,DQ'DYLG/RFNKDUW%RJOHDQG0LFKDHO)DLUZHDWKHU (GLWRUV 3URFHHGLQJVRIWKHQG(XURSHDQ 6\PSRVLXPRQ&RPSXWHU$LGHG3URFHVV(QJLQHHULQJ-XQH/RQGRQ ‹(OVHYLHU%9$OOULJKWVUHVHUYHG



'HVLJQLQJDQGSODQQLQJRIFORVHGORRSVXSSO\ FKDLQVIRUULVNDQGHFRQRPLFDORSWLPL]DWLRQ 6yQLD5&DUGRVRD$QD3DXOD)'%DUERVD3yYRDD6XVDQD5HOYDVD D

&(*,67,QVWLWXWR6XSHULRU7pFQLFR8QLYHUVLGDGH7pFQLFDGH/LVERD$Y5RYLVFR 3DLV/LVERD3RUWXJDO

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഍±FRQVWUDLQWPHWKRG 7KHPRGHO ZDVDSSOLHGWRDFDVHVWXG\ ZKHUHWKHHVWDEOLVKPHQWRID(XURSHDQVXSSO\ FKDLQLVVWXGLHG  .H\ZRUGV&ORVHGORRSVXSSO\FKDLQ'HVLJQDQG3ODQQLQJ8QFHUWDLQW\5LVN0,/3

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pQ HW DO  *HRUJLDGLV HW DO   EXW WKH WUHDWPHQW RI VXSSO\ FKDLQV ZLWK IRUZDUG DQG UHYHUVH IORZV KDV QRW \HW EHHQ WUHDWHG DGHTXDWHO\ $VVRFLDWHG ZLWK VXFK XQFHUWDLQW\ WKH QHHG WR GHDO ZLWK WKH ULVN PDQDJHPHQWLQVXSSO\FKDLQVLVDWRSLFWKDWLVJDLQLQJLPSRUWDQFHIRUERWKDFDGHPLFV DQGSURIHVVLRQDOV7KLVVKRXOGFRQVLGHUWKHSUREDELOLW\LQFUHDVHRIH[SHULHQFLQJDGYHUVH HYHQWV LQ VXSSO\ FKDLQV WKDW WKUHDWHQ QRUPDO EXVLQHVV RSHUDWLRQV 1DUDVLPKDQ DQG 7DOOXUL  


448

$)LUVWDXWKRUHWDO

YDULDELOLW\ LQGH[ SUREDELOLVWLF ILQDQFLDO ULVN DQG GRZQVLGH ULVN ZKHUH WKH\ FRQFOXGH WKDW WKH ODVW WZR PHDVXUHV DUH PRUH HIIHFWLYH LQ UHGXFLQJ KLJK ULVNV ,Q WKH SUHVHQW SDSHUDELREMHFWLYH PRGHOLVGHYHORSHGIRUWKHGHVLJQDQGSODQQLQJRI VXSSO\FKDLQV ZKHUH IRUZDUG DQG UHYHUVH ORJLVWLFV DFWLYLWLHV DUH FRQVLGHUHG VLPXOWDQHRXVO\ $OVR XQFHUWDLQW\ LQ SURGXFWV¶ GHPDQG LV FRQVLGHUHG DQG WKH VXSSO\ FKDLQ ULVN LV FDOFXODWHG XVLQJWKHSUREDELOLVWLFILQDQFLDOULVNPHDVXUH

3UREOHP'HILQLWLRQ 7KHSUREOHPDGGUHVVHGLQWKLVZRUNKDVWKHREMHFWLYHRIGHWHUPLQLQJWKHVXSSO\FKDLQ VWUXFWXUH DORQJ ZLWK SODQQLQJ GHFLVLRQV WKDW PD[LPL]HV WKH H[SHFWHG 139 DQG VLPXOWDQHRXVO\ PLQLPL]HV WKH ULVN WDNLQJ LQWR DFFRXQW WKH XQFHUWDLQW\ LQ SURGXFWV¶ GHPDQG8QFHUWDLQW\LVFDSWXUHGLQWHUPVRIDQXPEHURIVFHQDULRVWKDWDUHSRVVLEOHWR RFFXUGXULQJWKHHQWLUHSODQQLQJWLPHKRUL]RQKDYLQJGLIIHUHQWDVVRFLDWHGSUREDELOLWLHV 7KHUHVXOWLQJVXSSO\FKDLQVWUXFWXUHLVFDSDEOHWRGHDOZLWKDOOFRQVLGHUHGVFHQDULRV7KH GHPDQGLVNQRZQIRUWKHILUVWSHULRGDQGWKHVFHQDULRVDUHEXLOWDVVKRZQLQILJXUH          )LJXUH6FHQDULRVFRQVWUXFWLRQDSSURDFK

,Q WKLV DSSURDFK WKH LQIRUPDWLRQ UHJDUGLQJ SURGXFWV¶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

'HVLJQLQJDQGSODQQLQJRIFORVHGORRSVXSSO\FKDLQVIRUULVNDQGHFRQRPLFDO  RSWLPL]DWLRQ

449

+DYLQJVXFKQHWZRUNWKHSUREOHPFDQEHJHQHUDOO\GHVFULEHGDVIROORZV JLYHQ WKH LQSXW GDWD D  XSSHU DQG ORZHU ERXQGV IRU WKH LQIUDVWUXFWXUHV FDSDFLWLHV H[SDQVLRQV E  LQYHQWRU\ FRVWV DW WKH ZDUHKRXVHV DQG UHWDLOHUV F  LQLWLDO FDSDFLW\ DQG LQLWLDO LQYHQWRU\ OHYHO LQ WKH H[LVWLQJ LQIUDVWUXFWXUHV G  SULFH RI HDFK ILQDO SURGXFW H  HVWLPDWLRQ RI SURGXFWV¶ GHPDQG LQ WHUPV RI VFHQDULRV I  WUDYHO GLVWDQFH EHWZHHQ HDFK SDLU RI HQWLWLHV RI WKH QHWZRUN J  LQYHVWPHQW FRVWV RSHUDWLRQDO FRVWV DQG XQLWDU\ WUDQVSRUWDWLRQ FRVWV K  SULFHRI HDFK UDZ PDWHULDO L  SHUFHQWDJH RI FROOHFWHG SURGXFWV WKDWDUH VHQWWRGLVSRVDOM SURGXFWV ELOORI PDWHULDOV N WXUQRYHUUDWLRRI ZDUHKRXVHV DQG UHWDLOHUV O  PLQLPXP SHUFHQWDJH RI GHPDQG DQG UHWXUQHG SURGXFWV WKDW KDV WR EH VDWLVILHGP PLQLPXPYDOXHRISURILWWKDWLWLV ZDQWHGWRDFKLHYHQ XSSHUDQGORZHU ERXQGVIRUSXUFKDVHVDQGIORZRIPDWHULDOVR VDOYDJHYDOXHWD[DQGLQWHUHVWUDWHVS  WLPHKRUL]RQDQGWLPHVORWV¶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¶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



450

$)LUVWDXWKRUHWDO

H[WUHPHO\GLIILFXOWWRIRUHFDVWWKHGHPDQG6RLWLVDQDO\]HGWKHLPSDFWRIXQFHUWDLQW\LQ WKH SURGXFWV¶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±2SHUDWLRQDO5HVXOWVLQ¼

 &RVWV  'LVWULEXWLRQ 3URGXFWLRQ 3XUFKDVHV &DVH$    &DVH%   

5HYHQXHV 139 6DOHV ,QYHQWRU\      

 )URP WKH UHVXOWV ZH FDQ FRQFOXGH WKDW WKH LQFOXVLRQ RI XQFHUWDLQW\ LQ WKH SURGXFWV¶ GHPDQG UHVXOWV LQ D GHFUHDVH RI  LQ WKH QHW SUHVHQW YDOXH HVVHQWLDOO\ GXH WR WKH UHGXFWLRQLQWKHVDOHVDQGDQLQFUHDVHLQWKHLQYHQWRU\ZKLFKDUHLQWKLVFDVHZHLJKWHG LQWKHH[SHFWHG139WKURXJKWKHVFHQDULRSUREDELOLW\ 7KHFRPSXWDWLRQDOUHVXOWVRIWKHPRGHOIRUERWKFDVHVVWXGLHGDUHSUHVHQWHGLQWDEOH 7KHPRGHOZDVLPSOHPHQWHGLQ*$06XVLQJ&3/(;LQD7ZR,QWHO;HRQ ;*+]FRPSXWHUZLWK*%5$0   &DVH$ &DVH%

7RWDO 9DULDEOHV  

7DEOH±&RPSXWDWLRQDO5HVXOWV

%LQDU\ 9DULDEOHV  

(TXDWLRQV  

*DS    

&38 V   

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഍FRQVWUDLQW PHWKRG 7KH SURFHGXUH VWDUWVZLWKWKHPD[LPL]DWLRQRIWKH(139ZLWKRXWUHVWULFWLRQVRQWKHULVNIXQFWLRQ7KLV JHQHUDWHV WKH SRLQW ZLWK WKH KLJKHVW ULVN DQG (139   7KH VDPH SURFHGXUH ZDV DSSOLHG WR WKH PD[LPL]DWLRQ RI WKH ULVN IXQFWLRQ JHQHUDWLQJ WKH SRLQW ZLWK WKH PLQLPXPULVNDQG(139  ,QRUGHUWRGHWHUPLQHWKHRWKHUSRLQWVRIWKHFXUYH WKH (139 IXQFWLRQ LV PD[LPL]HG FRQVWUDLQLQJ WKH ULVN IXQFWLRQ WR EH ORZHU RU HTXDO WKDQ 5LVNPD[ GHFUHDVHG E\ D YDOXH N ǻ഍ ZLWK ǻ഍ 5LVNPD[5LVNPLQ Q LQ VXFFHVVLYH RSWLPL]DWLRQ VWHSV N N Q  ,Q ILJXUH  LW LV SUHVHQWHG WKH DSSUR[LPDWLRQ WR WKH 3DUHWRRSWLPDOFXUYHREWDLQHG  

'HVLJQLQJDQGSODQQLQJRIFORVHGORRSVXSSO\FKDLQVIRUULVNDQGHFRQRPLFDO  RSWLPL]DWLRQ

451

 ‚ƒ_^q

q^^^^ `^^^^ _^^^^ ^ ^

^{|

_ }~€

5LVN      

(139 ¼       

 )LJXUH$SSUR[LPDWLRQWRWKH3DUHWRRSWLPDOFXUYH 

$V LW ZDV H[SHFWHG ZKHQ WKH REMHFWLYH IXQFWLRQ ULVN LV PLQLPL]HG LW LV REWDLQHG WKH ORZHVWYDOXHRI(1392QWKHRWKHUKDQGWKHKLJKHVWYDOXHRIULVNLVDVVRFLDWHGWRWKH KLJKHVW YDOXH IRU WKH (139 ,W LV LPSRUWDQW WR QRWLFH WKDW WKHUH LV DQ DFFHQWXDWHG LQFUHDVHLQWKHH[SHFWHG139EHWZHHQWKHILUVWWZRSRLQWVZKLOHWKHYDOXHRIULVNRQO\ LQFUHDVHV  )RU WKH UHPDLQLQJ SDUW RI WKH FXUYH WKH ULVN LQFUHDVHV VLJQLILFDQWO\ ZKHUHDV WKH (139 UHPDLQV TXLWH VWDEOH ,Q WHUPV RI QHWZRUN VWUXFWXUH WKH QXPEHU RI LQVWDOOHG LQIUDVWUXFWXUHV UHPDLQV HTXDO RQO\ YDU\LQJ WKHLU FDSDFLWLHV DQG WKH WUDQVSRUWDWLRQOLQNV

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

$FNQRZOHGJPHQWV 7KHDXWKRUVJUDWHIXOO\DFNQRZOHGJHILQDQFLDOVXSSRUWIURP )XQGDomRSDUDD&LrQFLDH 7HFQRORJLD )&7  JUDQW 6)5+%' DQG SURMHFW 37'&6(1 (15

5HIHUHQFHV 0*HRUJLDGLV37VLDNLV3/RQJLQLGLV06RILRJORX2SWLPDOGHVLJQRIVXSSO\FKDLQ QHWZRUNVXQGHUXQFHUWDLQWUDQVLHQWGHPDQGYDULDWLRQV2PHJD **XLOOpQ)0HOH0%DJDMHZLF]$(VSXxD/3XLJMDQHU0XOWLREMHFWLYHVXSSO\FKDLQ GHVLJQXQGHUXQFHUWDLQW\&KHPLFDO(QJLQHHULQJ6FLHQFH 51DUDVLPKDQ67DOOXUL3HUVSHFWLYHVRQULVNPDQDJHPHQWLQVXSSO\FKDLQV-RXUQDORI 2SHUDWLRQV0DQDJHPHQW /3DSDJHRUJLRX6XSSO\FKDLQRSWLPL]DWLRQIRUWKHSURFHVVLQGXVWULHV$GYDQFHVDQG RSSRUWXQLWLHV&RPSXWHUVDQG&KHPLFDO(QJLQHHULQJ 06DOHPD$%DUERVD3yYRD$1RYDLV6LPXOWDQHRXVGHVLJQDQGSODQQLQJRIVXSSO\ FKDLQVZLWKUHYHUVHIORZVDJHQHULFPRGHOLQJIRUPXODWLRQ(XURSHDQ-RXUQDORI2SHUDWLRQDO 5HVHDUFK )