A Risk-Averse Newsvendor Model Under the CVaR Criterion
A Risk-Averse Newsvendor Model Under the CVaR Criterion
复制标题
DOI：
10.1287/opre.1080.0603
复制
发表时间：
2009-07-01
影响因子：
2.7
通讯作者：
Zhang, Zhe George
中科院分区：
文献类型：
--
作者：
Chen, Youhua (Frank);Xu, Minghui;Zhang, Zhe George
经典的风险中性报童问题是确定使一期期望利润最大化的订货量。本文考虑了一个具有随机价格依赖需求的风险厌恶报童。我们采用金融中常用的风险度量方法--条件风险价值（CVaR）作为决策准则。我们的研究目的是探讨在这样的设置最优定价和订购决策。对于加法和乘法需求模型，我们给出了最优策略存在唯一性的充分条件。比较静态显示的单调性和其他特性的最优定价和订购决策。我们还比较了我们的结果与那些具有风险中性的态度和一般效用函数的报童。
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.