Comparative Analysis of Optimal Strategies with Two Purchase Modes under Different Risk-Averse Criterions

被引：3
作者：
XU MinghuiLI Jianbin School of Economics and ManagementWuhan UniversityWuhan HubeiChinaSchool of ManagementHuazhong University of Science and TechnologyWuhan HubeiChina [1 ,2 ,1 ,430072 ,2 ,430074 ]
机构：
来源：
WuhanUniversityJournalofNaturalSciences | 2009年 / 14卷 / 04期
关键词：
newsvendor model; risk aversion; two purchase modes; conditional value-at-risk(CVaR);
D O I：
暂无
中图分类号：
O211.67 [期望与预测];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Consider a risk-averse newsvendor who has an option to purchase the units that are short at an emergency purchase price after demand is realized.We use the conditional value-at-risk(CVaR) as the risk measure.The aim of the study is to investigate the optimal ordering decision in such a setting under CVaR only and mean-CVaR criterions.For each case,we derive the closed-form optimal solution and perform comparative statics to show the monotonicity properties and other characteristics of the optimal decisions.We also compare our results with those of risk-neutral newsvendor.
引用
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页码：287 / 292
页数：6
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