A benchmark solution for the risk-averse newsvendor problem

被引：80
作者：
Keren, Baruch
Pliskin, Joseph S.
机构：
[1] Ben Gurion Univ Negev, Sami Shamoon Coll Engn, Dept Ind Engn & Management, IL-84100 Beer Sheva, Israel
[2] Ben Gurion Univ Negev, Dept Ind Engn & Management, IL-84105 Beer Sheva, Israel
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2006年 / 174卷 / 03期
关键词：
utility theory; newsvendor problem; risk-aversion; uniform distribution;
D O I：
10.1016/j.ejor.2005.03.047
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we derive the first order conditions for optimality for the problem of a risk-averse expected-utility maximizer newsvendor. We use these conditions to solve a special case where the utility function is any increasing differentiable function, and the random demand is uniformly distributed. This special case has a simple closed form solution and therefore it provides an insightful and practical interpretation to the optimal point. We show some properties of the solution and also demonstrate how it can be used for assessing the newsvendor utility function parameters. (c) 2005 Elsevier B.V. All rights reserved.
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页码：1643 / 1650
页数：8
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