Maximizing revenues of perishable assets with a risk factor
成果类型：
Article
署名作者：
Feng, YY; Xiao, BC
署名单位：
National University of Singapore; Long Island University; Long Island University Post; Seton Hall University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.47.2.337
发表日期：
1999
页码：
337-341
关键词：
摘要：
This article presents a risk-sensitive pricing model to maximize sales revenue of perishable commodities with fixed capacity and finite sales horizon. The model assumes a pair of predetermined prices and the Poisson demand process whose intensity is a decreasing function of price. When optimizing the expected revenue, management takes business risk into account by adding a penalty (or premium) to the objective function. We solve the continuous-time model with the exact solution in closed form. We further analyze the influence of risk attitude on optimal policies.