Article ID: | iaor2009736 |
Country: | Netherlands |
Volume: | 36 |
Issue: | 1 |
Start Page Number: | 77 |
End Page Number: | 82 |
Publication Date: | Jan 2008 |
Journal: | Operations Research Letters |
Authors: | Ruszczyski Andrzej, Choi Sungyong |
Keywords: | risk |
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk 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.