Risk preferences and robust inventory decisions
Risk preferences and robust inventory decisions
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DOI：
10.1016/j.ijpe.2008.08.023
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发表时间：
2009-03-01
影响因子：
12
通讯作者：
Kischka, Peter
中科院分区：
文献类型：
--
作者：
Jammernegg, Werner;Kischka, Peter
最近在库存管理中，代替最大化期望利润或最小化期望成本，风险规避目标函数已被用于确定最优订货量。我们使用著名的报童模型来确定最优订货量的目标函数的两个风险参数，它可以描述风险中性，风险厌恶以及风险承担的库存管理行为。这种方法也可以应用于需求分布不能唯一指定的情况。我们认为强大的优化过程-最大最小和最小最大遗憾-以确定最优订货量，如果一组潜在的需求变量可以部分订购随机优势规则。(C)2008 Elsevier B.V.保留所有权利。
Recently in inventory management instead of maximizing expected profit or minimizing expected cost risk-averse objective functions have been used for determining the optimal order quantity. We use the well-known newsvendor model to determine the optimal order quantity for an objective function with two risk parameters, which can describe risk-neutral, risk-averse as well as risk-taking behaviour of the inventory manager. This approach can also be applied to situations in which the demand distribution cannot be specified uniquely. We consider robust optimization procedures-maximin and minimax regret-to determine optimal order quantities if the set of potential demand variables can be partially ordered by stochastic dominance rules. (C) 2008 Elsevier B.V. All rights reserved.