Risk-averse order policies with random prices in complete market and retailers' private information

European Journal of Operational Research

Volumn 196, Issue 2, 2009, Pages 594-599

  Tapiero, Charles S ^a   Kogan, Konstantin ^b  

^a POLYTECHNIC UNIVERSITY   (United States)

^b BAR ILAN UNIVERSITY   (Israel)

Author keywords

Retailing; Risk management; Utility theory

Indexed keywords

COMPETITION; DECISION MAKING; RISK ANALYSIS; RISK MANAGEMENT; RISK PERCEPTION; SALES;

OPERATIONS MANAGEMENTS; ORDERING POLICIES; PERFECT COMPETITIONS; PRICE SENSITIVES; PRIVATE INFORMATIONS; RETAILING; RISK ATTITUDES; RISK AVERSE; RISK AVERSIONS; SUBJECTIVE ASSESSMENTS; UTILITY FUNCTIONS; UTILITY THEORY;

COSTS;

EID: 58149465606     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2008.03.022     Document Type: Article

References (12)

1. Ait-Sahalia Y., and Lo A. Nonparametric estimation of state-price densities implicit in financial asset prices. Journal of Finance 53 (1998) 499-548
2. Alonzo F., 2005, Testing the forecasting performance of IBEX 35 option implied risk neutral densities, Working Paper, Bank of Spain.
3. Jackwerth J.C. Option implied risk neutral distributions and implied binomial trees: a literature review. Journal of Derivatives 7 (1999) 66-82
4. Jackwerth J.C. Recovering risk aversion from option prices and realized returns. The Review of Financial Studies 13 2 (2000) 433-451
5. Kogan K., and Tapiero C.S. Supply Chains, Operations Modeling and Management (2007), Springer-Verlag, Boston
6. Munier B., and Tapiero C.S. Risk Attitudes, Encyclopedia of Quantitative Risk Assessment and Analysis (2008), Wiley, New York and London
7. Oum,Yumi, Shmuel, Oren, Deng, Shijie, 2006. Hedging quantity risks with standard power options in a competitive wholesale electricity market, In: Birge, John, Linetsky, Vadim (Issue Eds.), Special Issue on Applications of Financial Engineering in Operations, Production, Services, Logistics, and Management. Naval Research Logistics, vol. 53(7), pp. 697-712.
8. Perignon, C., Villa, C., 2002. Extracting information from option markets: Smiles, state price densities and risk aversion, May, European Financial Management.
9. Ritchken P., and Tapiero C.S. Contingent claim contracts and inventory control. Operations Research 34 (1986) 864-870
10. Tapiero C.S. Risk and Financial Management: Mathematical and Computational Methods (2005), Wiley, London and New York
11. Tapiero Oren, 2007, Testing techniques and forecasting ability of FX options implied risk neutral densities, Masters Thesis, Department of Economics and Finance, University of Montrel, Montreal, Canada.
12. Tapiero, C.S., 2007. Market pricing orders management with price and demand uncertainty in complete markets, International Journal of Production Economics, re-submitted for publication.