3 search results - page 1 / 1 » A risk-averse newsvendor with law invariant coherent measure... |
63
Voted
EOR
2007
14 years 10 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...
77
Voted
CORR
2007
Springer
14 years 10 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
14 years 10 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...