A risk-averse newsvendor with law invariant coherent measures of risk |
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| Authors: | Sungyong Choi |
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| Institution: | Department of Management Science and Information Systems, Rutgers University, 94 Rockefeller Rd, Piscatway, NJ 08854, USA |
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| Abstract: | 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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| Keywords: | Newsboy problem Risk theory Stochastic programming |
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