A risk-averse newsvendor with law invariant coherent measures of risk

DOI10.1016/J.ORL.2007.04.008zbMATH Open1152.91572OpenAlexW2164559241MaRDI QIDQ924892FDOQ924892

Authors: Sungyong Choi, Andrzej Ruszczyński 

Publication date: 29 May 2008

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2007.04.008

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zbMATH Keywords

stochastic programmingrisk theorynewsboy problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• Coherent measures of risk
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Dual Stochastic Dominance and Related Mean-Risk Models
• Stochastic finance. An introduction in discrete time
• On consistency of stochastic dominance and mean-semideviation models
• Title not available (Why is that?)
• The Risk-Averse (and Prudent) Newsboy
• Monte Carlo sampling approach to stochastic programming
• Optimization of Convex Risk Functions
• Newsvendor solutions via conditional value-at-risk minimization
• Coherent risk measures in inventory problems
• Optimization of risk measures
• Frontiers of Stochastically Nondominated Portfolios

Cited In (36)

• A benchmark solution for the risk-averse newsvendor problem
• A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk
• Newsvendor model for a dyadic supply chain with push-pull strategy under shareholding and risk aversion
• The risk-averse newsvendor problem under spectral risk measures: a classification with extensions
• Risk-averse newsvendor model with strategic consumer behavior
• Robust newsvendor problems with compound Poisson demands
• The optimal strategies of risk-averse newsvendor model for a dyadic supply chain with financing service
• The \(p\)-folded cumulative distribution function and the mean absolute deviation from the \(p\)-quantile
• Optimizing conditional value-at-risk in dynamic pricing
• Controlling risk and demand ambiguity in newsvendor models
• Supply chain risk analysis with mean-variance models: a technical review
• Risk-averse stochastic path detection
• Distributionally Robust Inventory Control When Demand Is a Martingale
• Time (in)consistency of multistage distributionally robust inventory models with moment constraints
• A price-setting newsvendor problem under mean-variance criteria
• Some general properties for the newsboy problem with an extraordinary order
• Coordinating contracts for two-stage fashion supply chain with risk-averse retailer and price-dependent demand
• Risk-balanced dimensioning and pricing of end-to-end differentiated services
• Forward-buying and the naive newsvendor
• Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models
• Coherent risk measures in inventory problems
• A note on risk averse newsboy problem
• The newsvendor problem under multiplicative background risk
• Technical note: Operational statistics: properties and the risk-averse case
• A risk-averse newsvendor model under stochastic market price
• On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations
• Risk mitigation in newsvendor networks: resource diversification, flexibility, sharing, and hedging
• A Risk-Averse Newsvendor Model Under Trade Credit Contract with CVaR
• SUPPLY CHAIN COORDINATION WITH CVaR CRITERION
• Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand
• Optimal strategy in managing product quality risk for a <scp>risk‐averse</scp> manufacturer: Prevention or mitigation?
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
• The risk-averse newsvendor problem with random capacity
• Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation
• Towards dominant flexibility configurations in strategic capacity planning under demand uncertainty
• Dynamic linear programming games with risk-averse players

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