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

Operations Research Letters

Volumn 36, Issue 1, 2008, Pages 77-82

  Choi, Sungyong ^a   Ruszczyński, Andrzej ^a  

^a RUTGERS UNIVERSITY   (United States)

Author keywords

Newsboy problem; Risk theory; Stochastic programming

Indexed keywords

OPERATIONS RESEARCH; OPTIMIZATION; PROBLEM SOLVING; STOCHASTIC PROGRAMMING;

NEWSBOY PROBLEM; RISK THEORY;

RISK ANALYSIS;

EID: 37049034248     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2007.04.008     Document Type: Article

References (16)

1. Artzner P., Delbaen F., Eber J.M., and Heath D. Coherent measures of risk. Math. Finance 9 (1999) 203-228
2. Ahmed S., Cakmak U., and Shapiro A. Coherent risk measures in inventory problems. Eur. J. Oper. Res. 182 (2007) 226-238
3. F. Chen, A. Federgruen, Mean-variance analysis of basic inventory models, Working paper, Columbia University, 2000.
4. Eeckhoudt L., Gollier C., and Schlesinger H. The risk-averse (and prudent) newsboy. Manage. Sci. 41 (1995) 786-794
5. Föllmer H., and Schied A. Stochastic Finance. An Introduction in Discrete Time (2004), de Gruyter, Berlin
6. Gotoh J., and Takano Y. Newsvendor solutions via conditional-value-at-risk minimization. Eur. J. Oper. Res. 179 (2007) 80-96
7. Kusuoka S. On law invariant coherent risk measures. Adv. Math. Econ. 3 (2001) 83-95
8. Markowitz H.M. Portfolio selection. J. Finance 7 (1952) 77-91
9. Ogryczak W., and Ruszczyński A. From stochastic dominance to mean-risk models. Eur. J. Oper. Res. 116 (1999) 33-50
10. Ogryczak W., and Ruszczyński A. On consistency of stochastic dominance and mean-semideviation models. Math. Program. 89 (2001) 217-232
11. Ogryczak W., and Ruszczyński A. Dual stochastic dominance and related mean-risk models. SIAM J. Optim. 13 1 (2002) 60-78
12. Rockafellar R.T., and Uryasev S.P. Optimization of conditional value-at-risk. J. Risk 2 (2000) 21-41
13. Ruszczyński A., and Shapiro A. Optimization of risk measures. In: Calafiore G., and Dabene F. (Eds). Probabilistic and Randomized Methods for Design under Uncertainty (2005), Springer, London
14. Ruszczyński A., and Shapiro A. Optimization of convex risk functions. Math. Oper. Res. 31 (2006) 433-452
15. Ruszczyński A., and Vanderbei R.J. Frontiers of stochastically nondominated portfolios. Econometrica 71 4 (2003) 1287-1297
16. Shapiro A. Monte Carlo Sampling Methods. In: Ruszczyński A., and Shapiro A. (Eds). Stochastic Programming (2003), Elsevier, Amsterdam