Finite change comparative statics for risk-coherent inventories

International Journal of Production Economics

Volumn 131, Issue 1, 2011, Pages 52-62

  Borgonovo, E ^a   Peccati, L ^a  

^a BOCCONI UNIVERSITY   (Italy)

Author keywords

Coherent risk measures; Comparative statics; Finite change sensitivity indices; Inventory management; Sensitivity analysis

Indexed keywords

COHERENT RISK-MEASURES; COMPARATIVE STATICS; CONDITIONAL VALUE-AT-RISK; DECISION MAKERS; EXOGENOUS VARIABLES; FINITE CHANGE SENSITIVITY INDICES; INVARIANCE CONDITION; INVENTORY MANAGEMENT; INVENTORY MODELS; MULTIPLE MODELS; OBJECTIVE FUNCTIONS; OPTIMIZATION PROBLEMS; PIECE-WISE; SENSITIVITY INDICES;

INVENTORY CONTROL; SENSITIVITY ANALYSIS;

RISK ASSESSMENT;

EID: 79952591336     PISSN: 09255273     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijpe.2009.12.011     Document Type: Article

References (36)

1. S. Ahmed, U. Cakmak, and A. Shapiro Coherent risk measures in inventory problems European Journal of Operational Research 182 1 2007 226 238 (Pubitemid 46561149)
2. P. Artzner, F. Delbaen, J.M. Eber, and D. Heath Coherent measures of risk Mathematical Finance 9 1999 203 228
3. L. Bogataj, and J.A. Cibej Perturbations in living stock and similar biological inventory systems International Journal of Production Economics 35 13 1994 233 239
4. E. Borgonovo Differential importance and comparative statics: an application to inventory management International Journal of Production Economics 111 1 2008 170 179 (Pubitemid 350123690)
5. E. Borgonovo Sensitivity analysis with finite changes: an application to modifed-EOQ models European Journal of Operational Research 200 2010 127 138
6. E. Borgonovo, and L. Peccati Risk aversion in inventory management: risk averse vs risk neutral policies International Journal of Production Economics 118 1 2009 233 242
7. Borgonovo, E.; Peccati, L.; 2009b. Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures. Annals of Operations Research, doi: 10.1007/s10479-008- 0504-1.
8. Borgonovo, E.; Peccati, L.; 2009c. Managerial insights from service industry models: generalizing scenario analysis. Annals of Operational Research, DOI: 10.1007/s10479-009-0617-1.
9. F. Campolongo, and A. Saltelli Sensitivity analysis of an environmental model: an application of different analysis methods Reliability Engineering and System Safety 57 1997 49 69 (Pubitemid 127399763)
10. X. Chen, M. Sim, D. Simchi-Levi, and P. Sun Risk aversion in inventory management Operations Research 55 5 2007 828 842 (Pubitemid 351159531)
11. T.G. Eschenbach Spiderplots versus Tornado diagrams for sensitivity analysis Interfaces 22 1992 40 46
12. J. Gotoh, and Y. Takano Newsvendor solutions via conditional value-at-risk minimization European Journal of Operational Research 179 1 2007 80 96 (Pubitemid 44809560)
13. Grubbstrõm, R.W.; 2008. The Newsboy (Newsvendor) problem when customer demand is a compound renewal process, in: Proceedings of the 15th Working Seminar on Production Economics, Innsbruck, Austria, March 37 2008, pp. 127138.
14. J.L. Higle, and S.W. Wallace Sensitivity analysis and uncertainty in linear programming Interfaces 33 4 2003 53 60
15. R.L. Iman, and W.J. Conover A measure of top-down correlation Technometrics 29 3 1987 351 357
16. B. Jansen, J.J. de Jong, C. Roos, and T. Terlaky Sensitivity analysis in linear programming: just be careful! European Journal of Operational Research 101 1997 15 28 (Pubitemid 127399911)
17. H. Jungermann, and M. Thuring The Labyrinth of experts' minds: some reasoning strategies and their pitfalls Annals of Operations Research 16 1988 117 130
18. J.P.C. Kleijnen, and J. Helton Statistical analyses of scatter plots to identify important factors in large-scale simulations, 2: robustness of techniques Reliability Engineering and Systems Safety 65 2 1999 187 197
19. T. Koltai, and T. Terlaky The difference between the managerial and mathematical interpretation of sensitivity analysis results in linear programming International Journal of Production Economics 65 3 2000 257 274
20. Koltai, T.; Tatay, V.; 2008. A practical approach to sensitivity analysis of linear programming under degeneracy in management decision making, in: Proceedings of the XV Working Seminar on Production Economics, Innsbruck, March 37, 2008, pp. 223234.
21. J.D.C. Little Models and managers: The concept of a decision calculus Management Science 16 8 1970 B466 B485 Application Series
22. G.E. Monahan Management Decision Making 2000 Cambridge University Press Cambridge, U.K. 714pp. ISBN-0521-78118-3
23. R.H. Myers, and D.C. Montgomery Response Surface Methodology: Process and Product Optimization Using Designed Experiments 1995 Wiley New York, USA ISBN-978-0471581000
24. F.A. O'Brien Scenario planning - lessons for practice from teaching and learning European Journal of Operational Research 152 2004 709 722
25. H. Rabitz, and Ö.F. Alis General foundations of high-dimensional model representations Journal of Mathematical Chemistry 25 23 1999 197 233
26. R.T. Rockafellar, and S. Uryasev Conditional value-at-risk for general loss distributions Journal of Banking and Finance 26 2002 1443 1471
27. A. Ruszczynski, and A. Shapiro Optimization of risk measures G. Calafiore, F. Dabene, Probabilistic and Randomized Methods for Design under Uncertainty 2005 Springer London, UK
28. A. Saltelli, S. Tarantola, and F. Campolongo Sensitivity analysis as an ingredient of modelling Statistical Science 19 4 2000 377 395
29. A. Saltelli, and S. Tarantola On the relative importance of input factors in mathematical models: safety assessment for nuclear waste disposal Journal of the American Statistical Association 97 459 2002 702 709
30. A. Saltelli, S. Tarantola, F. Campolongo, and M. Ratto Sensitivity Analysis in Practice - a Guide to Assessing Scientific Models 2004 Wiley Hoboken, NJ, USA 219pp. ISBN 0-470-87093-1
31. A. Saltelli, M. Ratto, T. Andres, F. Campolongo, J. Cariboni, D. Gatelli, M. Saisana, and S. Tarantola Global Sensitivity Analysis: the Primer 2008 Wiley Chichester, West Sussex, England 292pp. ISBN 978-0-470-05997-5
32. A. Saltelli, J. Cariboni, and F. Campolongo Screening important inputs in models with strong interaction properties Reliability Engineering and System Safety 94 2009 1149 1155
33. P. Samuelson Foundations of Economic Analysis 1947 Harvard University Press Cambridge, MA
34. O. Tietje Identification of a small reliable and efficientset of consistent scenarios European Journal of Operational Research 162 2005 418 432
35. W.J.H. Van Groenendaal, and J.P.C. Kleijnen Deterministic versus stochastic sensitivity analysis in investment problems: an environmental case study European Journal of Operational Research 141 2002 8 20 (Pubitemid 34545614)
36. S.W. Wallace Decision making under uncertainty: is sensitivity analysis of any use? Operations Research 1 2000 20 25