学　术

　　讲座主题：Capacity Investment Decisions under Risk Aversion

　　时　间：2016年4月14日（周四）上午10:15-12:00

　　地　点：清水河校区经管楼C103

　　讲座简介：

　　This paper studies the optimal capacity investment problem for a risk-averse decision maker. The capacity can be either purchased or salvaged, whereas both involve a fixed cost and a proportional cost/revenue. We incorporate risk preference and employ a consumption model to capture the decision maker’s risk sensitivity in a multi-period capacity investment model. We show that, in each period, capacity and consumption decisions can be separately determined. In addition, we characterize the structure of the optimal capacity strategy. When the parameters are stationary, we present certain conditions under which the optimal capacity strategy could be easily characterized by a static two-sided (s, S) policy, whereby, the capacity is determined only at the beginning of period one, and held constant during the entire planning horizon. It is purchased up to B when the initial capacity is below b, salvaged down to Σ when it is above σ, and remains constant otherwise. Numerical tests are presented to investigate the impact of demand volatility on the optimal capacity strategy.

　　主讲人简介：

　　言小明副研究员，中国科学院数学与系统科学研究院运筹学博士，中国科学技术大学管理学院特任副研究员。先后在香港中文大学、香港大学和香港城市大学合作研究，主要研究方向是供应链管理、库存理论与动态规划、广告决策和动态定价。在Operations Research，Naval Research Logistics, European Journal of Operational Research等国际顶级和主流学术期刊发表学术论文10余篇。担任European Journal of Operational Research, Omega, International Journal of Production 等杂志审稿人。

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