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Risk-sensitive dynamic pricing for a single perishable product
Authors:Michael ZF Li  Weifen Zhuang  
Institution:aNanyang Business School, Nanyang Technological University, Singapore 639798, Singapore
Abstract:We show that the monotone structures of dynamic pricing for a single perishable product under risk-neutrality are preserved under risk-sensitivity with the additive general utility and atemporal exponential utility functions. We also show that the optimal price is decreasing over the degree of risk-sensitivity under the exponential class of both additive and atemporal utility functions.
Keywords:Dynamic pricing  Risk-sensitive  Additive utility  Atemporal utility
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