Risk aversion in inventory management
Risk aversion in inventory management
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DOI：
10.1287/opre.1070.0429
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发表时间：
2007-09-01
影响因子：
2.7
通讯作者：
Sun, Peng
中科院分区：
文献类型：
--
作者：
Chen, Xin;Sim, Melvyn;Sun, Peng
传统的库存模型侧重于风险中性的决策者，即，表征在计划范围内使预期总利润最大化或等效地使预期总成本最小化的补货策略。在本文中，我们提出了一个框架，将风险规避多周期库存模型以及多周期模型，协调库存和定价策略。我们表明，决策者的最优策略的结构与指数效用函数的最优风险中性的库存（和定价）政策的结构几乎是相同的。这些结构性的结果扩展到模型中，决策者有机会（部分）完整的金融市场，并可以通过交易金融证券对冲其操作风险。计算结果表明，最优策略是相对不敏感的决策者的风险厌恶水平的微小变化。
Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a framework for incorporating risk aversion in multiperiod inventory models as well as multiperiod models that coordinate inventory and pricing strategies. We show that the structure of the optimal policy for a decision maker with exponential utility functions is almost identical to the structure of the optimal risk-neutral inventory (and pricing) policies. These structural results are extended to models in which the decision maker has access to a (partially) complete financial market and can hedge its operational risk through trading financial securities. Computational results demonstrate that the optimal policy is relatively insensitive to small changes in the decision-maker's level of risk aversion.