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

DOI10.1016/j.orl.2007.04.008zbMath1152.91572OpenAlexW2164559241MaRDI QIDQ924892

Sungyong Choi, Ruszczyński, Andrzej

Publication date: 29 May 2008

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2007.04.008

zbMATH Keywords

stochastic programmingnewsboy problemrisk theory

Mathematics Subject Classification ID

Related Items (27)

Optimizing conditional value-at-risk in dynamic pricing ⋮ A price-setting newsvendor problem under mean-variance criteria ⋮ Risk-balanced dimensioning and pricing of end-to-end differentiated services ⋮ The optimal strategies of risk-averse newsvendor model for a dyadic supply chain with financing service ⋮ Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula ⋮ On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations ⋮ Optimal strategy in managing product quality risk for a <scp>risk‐averse</scp> manufacturer: Prevention or mitigation? ⋮ Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation ⋮ Some general properties for the newsboy problem with an extraordinary order ⋮ Coordinating contracts for two-stage fashion supply chain with risk-averse retailer and price-dependent demand ⋮ Robust newsvendor problems with compound Poisson demands ⋮ Supply chain risk analysis with mean-variance models: a technical review ⋮ The risk-averse newsvendor problem under spectral risk measures: a classification with extensions ⋮ Risk-averse stochastic path detection ⋮ Towards dominant flexibility configurations in strategic capacity planning under demand uncertainty ⋮ Dynamic linear programming games with risk-averse players ⋮ Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models ⋮ The \(p\)-folded cumulative distribution function and the mean absolute deviation from the \(p\)-quantile ⋮ Forward-buying and the naive newsvendor ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand ⋮ SUPPLY CHAIN COORDINATION WITH CVaR CRITERION ⋮ Controlling risk and demand ambiguity in newsvendor models ⋮ The newsvendor problem under multiplicative background risk ⋮ Technical note - operational statistics: Properties and the risk-averse case ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ The risk-averse newsvendor problem with random capacity

Cites Work

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• Coherent risk measures in inventory problems
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Coherent Measures of Risk
• Monte Carlo sampling approach to stochastic programming
• Dual Stochastic Dominance and Related Mean-Risk Models
• The Risk-Averse (and Prudent) Newsboy
• Optimization of Convex Risk Functions
• Frontiers of Stochastically Nondominated Portfolios
• Stochastic finance. An introduction in discrete time
• On consistency of stochastic dominance and mean-semideviation models

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