Coherent risk measures in inventory problems
From MaRDI portal
Recommendations
- A risk-averse newsvendor with law invariant coherent measures of risk
- Monotone trends in inventory-price control under time-consistent coherent risk measure
- Mean-variance analysis and the single-period inventory problem
- Risk Aversion in Inventory Management
- scientific article; zbMATH DE number 4135678
Cites work
- A benchmark solution for the risk-averse newsvendor problem
- A minmax distribution free procedure for the \((Q,R)\) inventory model
- Coherent measures of risk
- Conditional Risk Mappings
- Distribution Free Procedures for Some Inventory Models
- Foundations of inventory management
- Inventory Control with an Exponential Utility Criterion
- Mean-range based distribution-free procedures to minimize ``overage and ``underage costs
- Optimization of risk measures
- Risk Aversion in Inventory Management
- Stochastic finance. An introduction in discrete time
- The Distribution Free Newsboy Problem: Review and Extensions
- The Newsboy Problem under Alternative Optimization Objectives
- The Risk-Averse (and Prudent) Newsboy
Cited in
(72)- Asymptotic distribution of law-invariant risk functionals
- Stochastic monotonicity of mixture conditional value-at-risk and its applications to inventory systems
- Special issue: Global solution of integer, stochastic and nonconvex optimization problems
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Monotone trends in inventory-price control under time-consistent coherent risk measure
- Spectral risk measure of holding stocks in the long run
- scientific article; zbMATH DE number 4135678 (Why is no real title available?)
- The risk-averse newsvendor problem under spectral risk measures: a classification with extensions
- Newsvendor model for a dyadic supply chain with push-pull strategy under shareholding and risk aversion
- \textit{Ex-ante} real estate value at risk calculation method
- Time-consistent, risk-averse dynamic pricing
- Optimizing conditional value-at-risk in dynamic pricing
- Robust reward–risk ratio optimization with application in allocation of generation asset
- The newsvendor problem: review and directions for future research
- Controlling risk and demand ambiguity in newsvendor models
- Tight approximations of dynamic risk measures
- A dynamic programming approach to adjustable robust optimization
- Financial risk, inventory decision and process improvement for a firm with random capacity
- Uniform limit theorems for functions of order statistics
- Distributionally Robust Inventory Control When Demand Is a Martingale
- Zeroth-order stochastic compositional algorithms for risk-aware learning
- Risk analysis and decision theory: a bridge
- Decision tree analysis for a risk averse decision maker: CVaR criterion
- Single and multi-period optimal inventory control models with risk-averse constraints
- Stochastic programming approach to optimization under uncertainty
- Minimizing oracle-structured composite functions
- Dealing with the inventory risk: a solution to the market making problem
- \((Q,r)\) model with \(CVaR_\alpha\) of costs minimization
- Asymptotic consistency of risk functionals
- Risk aversion in imperfect natural gas markets
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Hedging demand and supply risks in the newsvendor model
- Distributionally robust modeling of optimal control
- Stochastic linear programming games with concave preferences
- Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
- Manufacturer cooperation in supplier development under risk
- Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
- The newsboy problem when customer demand is a compound renewal process
- Joint optimal ordering and weather hedging decisions: mean-CVaR model
- The complete solution procedure for the EOQ and EPQ inventory models with linear and fixed backorder costs
- scientific article; zbMATH DE number 4102780 (Why is no real title available?)
- Impact of cost uncertainty on pricing decisions under risk aversion
- Ambiguity in risk preferences in robust stochastic optimization
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Multilevel stochastic gradient methods for nested composition optimization
- Optimizing (\(s, S\)) policies for multi-period inventory models with demand distribution uncertainty: robust dynamic programing approaches
- Conditional value‐at‐risk beyond finance: a survey
- Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models
- Risk management policies for dynamic capacity control
- A risk-averse newsvendor with law invariant coherent measures of risk
- Mean-variance analysis and the single-period inventory problem
- The newsvendor problem under multiplicative background risk
- Technical note: Operational statistics: properties and the risk-averse case
- Socially responsible merchant operations: comparison of shutdown-averse CVaR and anticipated regret policies
- On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations
- Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem
- Optimal decisions for adoption of item-level RFID in a retail supply chain with inventory shrinkage under CVaR criterion
- An analysis of the Rüschendorf transform -- with a view towards Sklar's theorem
- Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand
- Risk Aversion in Inventory Management
- Optimal strategy in managing product quality risk for a <scp>risk‐averse</scp> manufacturer: Prevention or mitigation?
- Implications of risk aversion behavior on the green product promotion strategy under manufacturer encroachment
- Value at risk and inventory control
- The risk-averse newsvendor problem with random capacity
- Optimal business hours of the newsvendor problem for retailers
- Competitive ratio as coherent measure of risk
- Markov decision processes with risk-sensitive criteria: an overview
- Reverse sensitivity testing: what does it take to break the model?
- Addressing supply-side risk in uncertain power markets: stochastic Nash models, scalable algorithms and error analysis
- Risk analysis with contractual default. Does covenant breach matter?
- Dynamic linear programming games with risk-averse players
This page was built for publication: Coherent risk measures in inventory problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879300)
