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Abstract
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization.
Volume
36
Page
77-82
Number
1
Year
2008
Keywords
Newsboy problem; Risk theory; Stochastic programming
Categories
New Risk Measures
Publications
Operations Research Letters