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

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

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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: ,
Keywords: risk
Abstract:

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.

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