Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management

Exchange Rate Risk Sharing Contract with Risk-averse Firms

Authors
Yang Liu, Yong-kai MA, Hong Fu
Corresponding Author
Yang Liu
Available Online December 2013.
DOI
https://doi.org/10.2991/asshm-13.2013.94How to use a DOI?
Keywords
risk-averse; mean-variance model; exchange rate risk; global supply chain.
Abstract

In this paper, we consider a global supply chain model which includes a retailer and a manufacturer from different countries. We use a mean-variance model to study how the foreign exchange transaction exposure affects this global supply chain. Furthermore, we design a risk sharing contract to improve the expected utilities of both the node enterprises. Based on our analysis, we find this risk sharing contract can realize the Pareto improvements in this global supply chain when the firms’ risk aversion coefficients satisfy some conditions.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

Volume Title
Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
Series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90-78677-93-2
ISSN
1951-6851
DOI
https://doi.org/10.2991/asshm-13.2013.94How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yang Liu
AU  - Yong-kai MA
AU  - Hong Fu
PY  - 2013/12
DA  - 2013/12
TI  - Exchange Rate Risk Sharing Contract with Risk-averse Firms
BT  - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
PB  - Atlantis Press
SP  - 499
EP  - 503
SN  - 1951-6851
UR  - https://doi.org/10.2991/asshm-13.2013.94
DO  - https://doi.org/10.2991/asshm-13.2013.94
ID  - Liu2013/12
ER  -