7 search results - page 1 / 2 » Coherent risk measures in inventory problems |
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...
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...
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...
MP
2008
13 years 4 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
ISIPTA
2005
IEEE
13 years 10 months ago
2005
IEEE
This paper focuses on establishing envelope theorems for convex conditional lower previsions, a recently investigated class of imprecise previsions larger than coherent imprecise ...