A risk-averse newsvendor with law invariant coherent measures of risk

被引：69

作者：

Choi, Sungyong ^{[1
]}

Ruszczynski, Andrzej ^{[1
]}

机构：

[1] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA

来源：

OPERATIONS RESEARCH LETTERS | 2008年 / 36卷 / 01期

基金：

美国国家科学基金会;

关键词：

newsboy problem; risk theory; stochastic programming;

D O I：

10.1016/j.orl.2007.04.008

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization. (c) 2007 Published by Elsevier B.V.

引用

页码：77 / 82

页数：6

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