Optimal Structural Policies for Ambiguity and Risk Averse Inventory and Pricing Models

@article{Chen2012OptimalSP,
  title={Optimal Structural Policies for Ambiguity and Risk Averse Inventory and Pricing Models},
  author={Xin Chen and Peng Sun},
  journal={SIAM J. Control and Optimization},
  year={2012},
  volume={50},
  pages={133-146}
}
This paper discusses multi-period stochastic joint inventory and pricing models when the decision maker is risk and ambiguity averse. We study infinite horizon models with discounted and long run average optimization criteria. The main result of this paper is to establish the optimality of stationary (s, S, p) policies for the infinite horizon inventory and pricing models, for which the existing proof techniques for the risk neutral counterparts may not be extended. ∗The research of the first… CONTINUE READING

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