Name
Title | ||
|---|---|---|
Optimal Structural Policies for Ambiguity and Risk Averse Inventory and Pricing Models |
Abstract | ||
|---|---|---|
This paper discusses multiperiod stochastic joint inventory and pricing models when the decision maker is risk and ambiguity averse. We study infinite horizon models with discounted and long run average optimization criteria. The main result of this paper is establishing the optimality of stationary $(s,S,p)$ policies for the infinite horizon inventory and pricing models. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1137/100791488 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
stochastic joint inventory,optimal structural policies,infinite horizon inventory,decision maker,paper discusses,pricing,infinite horizon model,main result,pricing models,inventory,risk averse inventory,risk averse,innite,ambiguity averse,average optimization criterion,pricing model,s | Mathematical optimization,Mathematical economics,Actuarial science,Infinite horizon,Risk aversion,Ambiguity,Mathematics,Decision maker | Journal |
Volume | Issue | ISSN |
50 | 1 | 0363-0129 |
Citations | PageRank | References |
4 | 0.42 | 13 |
Authors | ||
2 | ||