Risk aversion in inventory management
成果类型：
Article
署名作者：
Chen, Xin; Sim, Melvyn; Simchi-Levi, David; Sun, Peng
署名单位：
University of Illinois System; University of Illinois Urbana-Champaign; National University of Singapore; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University; Singapore-MIT Alliance for Research & Technology Centre (SMART); Massachusetts Institute of Technology (MIT); National University of Singapore; Nanyang Technological University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1070.0429
发表日期：
2007
页码：
828-842
关键词：
摘要：
Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a framework for incorporating risk aversion in multiperiod inventory models as well as multiperiod models that coordinate inventory and pricing strategies. We show that the structure of the optimal policy for a decision maker with exponential utility functions is almost identical to the structure of the optimal risk-neutral inventory (and pricing) policies. These structural results are extended to models in which the decision maker has access to a (partially) complete financial market and can hedge its operational risk through trading financial securities. Computational results demonstrate that the optimal policy is relatively insensitive to small changes in the decision-maker's level of risk aversion.