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2008

A risk-averse newsvendor with law invariant coherent measures of risk

11 years 1 months ago
A risk-averse newsvendor with law invariant coherent measures of risk
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk 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.
Sungyong Choi, Andrzej Ruszczynski
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2008
Where ORL
Authors Sungyong Choi, Andrzej Ruszczynski
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