Many supply chain problems involve optimization of various conflicting objectives. This paper formulates a green supply chain network throughout a two-stage mixed integer linear problem with uncertain demand and stochastic environmental respects level. The first objective function of the proposed model considers minimization of supply chain costs while the second objective function minimizes CO...

Misplaced inventory is prevalent in retail stores and may lead to the overall poor performance of the supply chain. We explore the impact of misplaced inventory on a two-level supply chain, which consists of a risk-neutral supplier and a risk-averse retailer. The supplier decides the wholesale price to maximize her profit, whereas the retailer decides the order quantity to maximize his utility....

We study a risk-averse newsvendor problem with quantity competition and price competition. Under the Conditional Value-at-Risk (CVaR) criterion, we characterize the optimal quantity and pricing decisions under both quantity and price competition. For quantity competition, we consider two demand splitting rules, namely proportional demand allocation and demand reallocation. Although competition ...

An approach to the Shannon and Rényi entropy maximization problems with constraints on the mean and law invariant deviation measure for a random variable has been developed. The approach is based on the representation of law invariant deviation measures through corresponding convex compact sets of nonnegative concave functions. A solution to the problem has been shown to have an alpha-concave d...

This paper constructs an emergency quantity discount contract to explore the inherent law of coordinating supply chain with stochastic market demand and price risk-averse supplier. Meanwhile, conditional value-at-risk (CVaR) risk measure criterion is revised study influence supplier’s aversion attitude on coordination. The results show that supplier will cause bifurcation relevant factors in un...

This paper develops trading strategies for liquidation of a financial security which maximize the expected return. The problem is formulated as a stochastic programming problem, which utilizes the scenario representation of possible returns. Two cases are considered, a case with no constraint on risk and a case when the risk of losses associated with trading strategy is constrained by Condition...

This work presents a methodology to incorporate reliability constraints in the optimal power systems expansion planning problem. Besides Loss Of Load Probability (LOLP) and Expected Power Not Supplied (EPNS), traditionally used systems, this proposes use of risk measures VaR (Value-at-Risk) CVaR (Conditional Value-at-Risk), widely financial markets. The explicit consideration problem can be an ...

Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

Stochastic linear quadratic control problems are considered from the viewpoint of risks. In particular, a worst-case conditional value-at-risk (CVaR) objective function is minimized subject to additive disturbances whose first two moments distribution known. The study focuses on three finding optimal feedback gain that minimizes cost of: stationary distribution, one-step, and infinite time hori...

We study a coordinated maintenance problem for multi-turbine offshore wind-farms. The deterioration of the turbines follows Poisson process and optimal order quantity single wind-farm, as well coalition wind-farms, is obtained using analogy with risk-averse newsvendor model considering conditional value at risk (CVaR) criterion. apply theory robust dynamic coalitional games to design stable all...