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OPTIMAL DECISIONS WHEN BALANCING EXPECTED PROFIT AND CONDITIONAL VALUE-AT-RISK IN NEWSVENDOR MODELS

查看参考文献27篇

文摘 This paper investigates a risk-averse inventory model by balancing the expected profit and conditional value-at-risk (CVaR) in a newsvendor model setting. We find out that: i) The optimal order quantity is increasing in the shortage cost for both the CVaR only criterion and the tradeoff objective. ii) For the case of zero shortage cost, the optimal order quantity to the CVaR criterion or tradeoff objective is increasing in the selling price, respectively. However, it may not be monotonic in the selling price when incorporating a substantial shortage cost. Moreover, it may be larger or less than the risk-neutral solution. iii) Under the tradeoff objective function, although the optimal order quantity for the model without shortage cost is increasing in the weight put on the expected profit, this property may not be true in general for the model with a substantial shortage cost. Some numerical examples are conducted to verify our results and observations
来源 Journal of Systems Science and Complexity ,2010,23(6):1054-1070 【核心库】
DOI 10.1007/s11424-010-7116-y
关键词 Conditional value-at-risk ; newsvendor model ; risk aversion ; shortage cost
地址

1. School of Economics and Management, Wuhan University, Wuhan, 430072  

2. School of Management, Huazhong University of Science and Technology, Wuhan, 430072

语种 英文
文献类型 研究性论文
ISSN 1009-6124
学科 数学
基金 Social Science Foundation of the Ministry of Education of China under ;  国家自然科学基金 ;  Fundamental Research Funds for the Central Universities under
文献收藏号 CSCD:4077083

参考文献 共 27 共2页

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引证文献 7 篇

1 张丽娜 利润-CVaR准则下供应链中的联合广告投入与订货策略研究 合肥工业大学学报. 自然科学版,2015,38(2):258-263
CSCD被引 0 次

2 禹海波 随机需求下多风险偏好零售商的供应链库存决策和协调 控制与决策,2015,30(12):2219-2224
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