3 search results - page 1 / 1 » A risk-averse newsvendor with law invariant coherent measure... |
EOR
2007
13 years 4 months ago
2007
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent r...
CORR
2007
Springer
13 years 4 months ago
2007
Springer
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors ar...
ORL
2008
13 years 4 months ago
2008
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 w...