Article ID Journal Published Year Pages File Type
1143205 Operations Research Letters 2008 6 Pages PDF
Abstract

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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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A risk-averse newsvendor with law invariant coherent measures of risk
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