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For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean–risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization.

We consider a multi-product risk-averse newsvendor under the law-invariant coherent measures of risk. We first establish several fundamental properties of the model regarding the convexity of the problem , the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk… (More)

- Sungyong Choi, Andrzej Ruszczy´nski, Yao Zhao

We consider a multi-product risk-averse newsvendor under the law-invariant coherent measures of risk. We first establish several fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk… (More)

We consider a multi-product newsvendor using an exponential utility function. We first establish a few basic properties for the newsvendor regarding the convexity of the model and monotonicity of the impact of risk aversion on the solution. When the product demands are independent and the ratio of the degree of risk aversion to the number of products is… (More)

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