Optimal structural policies for ambiguity and risk averse inventory and pricing models

DOI10.1137/100791488zbMATH Open1238.90007OpenAlexW1972292690MaRDI QIDQ2884589FDOQ2884589

Authors: Xin Chen, Peng Sun 

Publication date: 30 May 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100791488

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zbMATH Keywords

risk averse\((s, S)\) policyambiguity averseinfinite horizon dynamic programinventory and pricing

Mathematics Subject Classification ID

Marketing, advertising (90B60) Inventory, storage, reservoirs (90B05)

Cited In (10)

• Monotone trends in inventory-price control under time-consistent coherent risk measure
• Dynamic programming with value convexity
• A risk-averse inventory model with Markovian purchasing costs
• Supply and Demand Functions in Inventory Models
• Distribution-robust loss-averse optimization
• Time (in)consistency of multistage distributionally robust inventory models with moment constraints
• Risk minimization inventory model with a profit target and option contracts under spot price uncertainty
• A multi-product risk-averse newsvendor with exponential utility function
• Risk Aversion in Inventory Management
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula

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