Name
Abstract | ||
|---|---|---|
The classical risk-neutral newsvendor problem is to decide the order quantity that maximizes the one-period expected profit. In this note, we consider a risk-averse newsvendor with stochastic price-dependent demand. We adopt Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investigate the optimal pricing and ordering decisions in such a setting. For both additive and multiplicative demand models, we provide sufficient conditions for the uniqueness and existence of the optimal policy. Comparative statics show the monotonicity properties and other characteristics of the optimal pricing and ordering decisions. We also compare our results with those of the newsvendor with a risk-neutral attitude and a general utility function. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1287/opre.1080.0603 | Operations Research |
Keywords | Field | DocType |
decision criterion,technical note,conditional value-at-risk,risk-neutral attitude,multiplicative demand model,stochastic price-dependent demand,classical risk-neutral newsvendor problem,risk-averse newsvendor,optimal pricing,comparative static,risk-averse newsvendor model,cvar criterion,optimal policy,marketing,inventory,risk aversion,pricing,risk | Mathematical optimization,Economics,Newsvendor model,Extended newsvendor model,Optimal decision,Economic order quantity,Risk aversion,Risk measure,Comparative statics,Operations management,CVAR | Journal |
Volume | Issue | ISSN |
57 | 4 | 0030-364X |
Citations | PageRank | References |
40 | 1.47 | 9 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Youhua Frank Chen | 1 | 153 | 9.55 |
| minghui | 2 | 60 | 3.30 |
| Zhe George Zhang | 3 | 424 | 44.55 |