A risk-averse newsvendor with law invariant coherent measures of risk
نویسندگان
چکیده
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.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 36 شماره
صفحات -
تاریخ انتشار 2008