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標題: | 面對材料價格波動風險以選擇權為基礎的採購策略 An Option-based Sourcing Strategy under Price Volatility Risk |
作者: | 黃昱寧 Yu-Ning Huang |
指導教授: | 周雍強 Yon-Chun Chou |
共同指導教授: | 洪一薰 I-Hsuan Hong |
關鍵字: | 選擇權,策略採購,價格風險,風險評估,風險效用函數,風險趨避, option,strategic sourcing,price risk,risk evaluation,utility function,risk averse, |
出版年 : | 2023 |
學位: | 碩士 |
摘要: | 隨著現今科技的快速日新月異、全球化時代的蓬勃發展,以及世界局勢的轉變,使得市場需求變數相較以往提高許多。來自市場的需求將影響市場價格,更攸關著企業的營收多寡。各企業為了因應如此劇烈變化的市場環境,良好的供應鏈管理是企業應極其重視的一環。
此研究將重點放在「需求」的高度不確定性,針對供應鏈中「採購」這項職能,探討不同內部與外部環境變數的影響,並且考慮企業的風險偏好程度,把風險量化且納入採購考量中,發展出面對需求與價格波動時,基於選擇權的採購策略。 本論文中,首先對於策略採購、選擇權以及風險評估做介紹與應用,並說明本研究所採用的數量折扣與風險效用函數模型。接著以電動車原材料的價格波動為例,引述出環境外部因素如何影響著需求,需求影響價格,以及價格的各種波動行為。對於需求與價格高度波動的風險,企業為求永續發展應把此風險納入決策以保障其獲利程度,發展積極的採購策略。研究結果顯示當需求變異低時,彰顯不出選擇權採購策略的價值;需求變異較高時,在某個變異範圍中選擇權採購策略的期望效用是最好的;當需求變異太高,到了極端值範圍時,選擇權所提供的「等待的價值」會因為變異高選擇權價格也高,而抵銷掉選擇權的價值。另外,需求成長率也是影響選擇權價值的一大因素,當成長率相對高時,資產上漲的機率較高導致企業不需要透過購買選擇權保有資產價值。最後對於選擇權採購策略的數值結果,提出對於不同採購方式的分析與建議。 過去把風險量化且納入採購決策的文獻並不多,風險效用函數的制定也只有把利潤為正的情況納入考量,本研究的貢獻即是改善了上述兩點,能有效地讓企業在做採購決策時把風險適當地納入評估。 Along with the advances of modern rapid technology, the booming era of globalization, and the complexity of worldwide situation, market demand has become much more unpredictable. Market demand affects the market price, and the market price affects a firm’s profit, which values the most for a firm. Supply chain management is an important competency for companies so as to cope with such drastic changes. This study focuses on the high volatility of demand, which ultimately affects price, and examines the impact of internal and external environmental variables on the function of "sourcing" in supply chain, whilst taking the risk attitude of a company into consideration to quantify and incorporate risk into sourcing decisions. We then develop an option-based sourcing strategy to deal with the risk of demand and price volatility. In order to remain profit-sustainable, companies should aggressively develop sourcing strategies to deal with the high volatility of demand/price. Numerical results have shown that the value of option is not significant when demand variability is low; when demand variability is high, the expected utility of option-based sourcing strategy is the best within a range of variability; when demand variability is high enough to some degree, the "value of waiting" provided by option will be offset by the high option price due to high variability. In addition, the demand growth rate is a major factor affecting the value of option as well. When growth rate is relatively high, there’s a higher chance that the asset value will rise, resulting in firms not needing to retain asset value by purchasing options. The numerical results of the option-based sourcing strategy are presented to provide further analysis and suggestion for different sourcing methods. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/88053 |
DOI: | 10.6342/NTU202301333 |
全文授權: | 未授權 |
顯示於系所單位: | 工業工程學研究所 |
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