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

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39)

Related Items

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

Cites Work

• Time-inconsistent multistage stochastic programs: martingale bounds
• Risk management policies for dynamic capacity control
• Newsvendor solutions via conditional value-at-risk minimization
• Risk-averse profit-based optimal scheduling of a hydro-chain in the day-ahead electricity market
• Coherent risk measures in inventory problems
• A risk-averse newsvendor with law invariant coherent measures of risk
• Risk-sensitive dynamic pricing for a single perishable product
• A survey on risk-averse and robust revenue management
• A minmax regret price control model for managing perishable products with uncertain parameters
• The theory and practice of revenue management
• List pricing versus dynamic pricing: impact on the revenue risk
• Risk-sensitive capacity control in revenue management
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Risk-averse capacity control in revenue management
• Coherent Measures of Risk
• A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk
• Technical Note—A Risk-Averse Newsvendor Model Under the CVaR Criterion
• Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
• Risk in Revenue Management and Dynamic Pricing
• Technical Note—A Risk-Sensitive Model for Managing Perishable Products
• Intertemporal Price Discrimination
• Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons
• Maximizing Revenues of Perishable Assets with a Risk Factor
• Dual Stochastic Dominance and Related Mean-Risk Models
• Relationships Among Three Assumptions in Revenue Management