A Risk-Averse Newsvendor Model Under the CVaR Criterion
成果类型：
Article
署名作者：
Chen, Youhua (Frank); Xu, Minghui; Zhang, Zhe George
署名单位：
Chinese University of Hong Kong; Wuhan University; Western Washington University; Simon Fraser University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1080.0603
发表日期：
2009
页码：
1040-1044
关键词：
摘要：
The classical risk-neutral newsvendor problem is to decide the order quantity that maximizes the one-period expected profit. In this note, we consider a risk-averse newsvendor with stochastic price-dependent demand. We adopt Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investigate the optimal pricing and ordering decisions in such a setting. For both additive and multiplicative demand models, we provide sufficient conditions for the uniqueness and existence of the optimal policy. Comparative statics show the monotonicity properties and other characteristics of the optimal pricing and ordering decisions. We also compare our results with those of the newsvendor with a risk-neutral attitude and a general utility function.