Newsvendor solutions via conditional value-at-risk minimization
Newsvendor solutions via conditional value-at-risk minimization
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DOI：
10.1016/j.ejor.2006.03.022
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发表时间：
2007-05-16
影响因子：
6.4
通讯作者：
Takano, Yuichi
中科院分区：
文献类型：
--
作者：
Gotoh, Jun-ya;Takano, Yuichi
在本文中，我们考虑的条件风险价值（CVaR），在金融风险管理中最可取的风险度量，在著名的单期报童问题的背景下，这最初被制定为最大化的期望利润或最小化的期望成本。我们发现，下行风险的措施，包括CVaR是听话的问题，由于他们的凸性，因此，在温和的假设下，产品的需求的概率分布，我们提供了解析解或线性规划（LP）制定的最小化的CVaR措施定义了两个不同的损失函数。数值算例表明了本文所分析的模型之间的差异，并证明了LP解的有效性。(c)2006 Elsevier B.V.保留所有权利。
In this paper, we consider the minimization of the conditional value-at-risk (CVaR), a most preferable risk measure in financial risk management, in the context of the well-known single-period newsvendor problem, which is originally formulated as the maximization of the expected profit or the minimization of the expected cost. We show that downside risk measures including the CVaR are tractable in the problem due to their convexity, and consequently, under mild assumptions on the probability distribution of products' demand, we provide analytical solutions or linear programming (LP) formulation of the minimization of the CVaR measures defined with two different loss functions. Numerical examples are also exhibited, clarifying the difference among the models analyzed in this paper, and demonstrating the efficiency of the LP solutions. (c) 2006 Elsevier B.V. All rights reserved.