Optimizing conditional value-at-risk in dynamic pricing

DOI10.1007/s00291-018-0513-7zbMath1405.90065OpenAlexW2792482862MaRDI QIDQ1621836

Michael Hassler, Jochen Gönsch, Rouven Schur

Publication date: 12 November 2018

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-018-0513-7

zbMATH Keywords

dynamic programmingdynamic pricingservice operationsrisk managementrevenue management

Mathematics Subject Classification ID

Related Items (4)

Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions ⋮ Risk-averse dynamic pricing using mean-semivariance optimization ⋮ Randomized pricing of a storable good in the presence of consumer stockpiling ⋮ Time-consistent, risk-averse dynamic pricing

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