Maximizing revenues of perishable assets with a risk factor

This article presents a risk‐sensitive pricing model to maximize sales revenue of perishable commodities with fixed capacity and finite sales horizon. The model assumes a pair of predetermined prices and the Poission demand process whose intensity is a decreasing function of price. When optimizing the expected revenue, management takes business risk into account by adding a penalty (or premium) to the objective function. We solve the continuous‐time model with the exact solution in closed form. We further analyze the influence of risk attitude on optimal polices.