Risk-averse dynamic pricing using mean-semivariance optimization

DOI10.1016/J.EJOR.2023.04.002MaRDI QIDQ6113462zbMATH OpenOpenAlexFDO

Authors Rainer Schlosser, Jochen Gönsch

Publication date 11 July 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.ejor.2023.04.002

zbMATH Keywords

dynamic pricingMarkov decision processmean-semivariance optimizationrevenue managementrisk management

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Recommendations

• Optimizing conditional value-at-risk in dynamic pricing
• Stochastic optimization for dynamic pricing
• Pricing under dynamic risk measures
• Time-consistent, risk-averse dynamic pricing
• On the price of risk in a mean-risk optimization model
• On dynamic pricing under model uncertainty
• Dynamic mean-risk optimization in a binomial model
• Dynamic pricing without knowing the demand function: risk bounds and near-optimal algorithms
• Continuous-time dynamic pricing for stabilizing stochastic demand
• Robust dynamic pricing over infinite horizon in the presence of model uncertainty

Cites work

• A continuous-time yield management model with multiple prices and reversible price changes
• A review of choice-based revenue management: theory and methods
• A review of revenue management: recent generalizations and advances in industry applications
• A survey on risk-averse and robust revenue management
• Approximate dynamic programming. Solving the curses of dimensionality
• Coherent multiperiod risk adjusted values and Bellman's principle
• List pricing versus dynamic pricing: impact on the revenue risk
• Maximizing Revenues of Perishable Assets with a Risk Factor
• Mean-variance trade-offs in supply contracts
• On a time consistency concept in risk averse multistage stochastic programming
• Optimizing conditional value-at-risk in dynamic pricing
• Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
• Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
• Risk in Revenue Management and Dynamic Pricing
• Risk-averse dynamic programming for Markov decision processes
• Risk-sensitive capacity control in revenue management
• Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions
• Risk-sensitive dynamic pricing for a single perishable product
• The theory and practice of revenue management
• The variance of discounted Markov decision processes
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Time consistent dynamic risk measures
• Time-consistent, risk-averse dynamic pricing
• Time-inconsistent multistage stochastic programs: martingale bounds

Cited in

(4)

• On the price of risk in a mean-risk optimization model
• Predicting and optimizing marketing performance in dynamic markets
• Solution methods for a class of finite-horizon vector-valued Markov decision processes
• Mean-variance optimization in finite horizon Markov decision processes and its application to revenue management

This page was built for publication: Risk-averse dynamic pricing using mean-semivariance optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6113462)