Comparative analysis of optimal strategies with two purchase modes under different risk-averse criterions |
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Authors: | Minghui Xu Jianbin Li |
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Institution: | (1) School of Economics and Management, Wuhan University, Wuhan, 430072, Hubei, China;(2) School of Management, Huazhong University of Science and Technology, Wuhan, 430074, Hubei, China |
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Abstract: | Consider a risk-averse newsvendor who has an option to purchase the units that are short at an emergency purchase price after
demand is realized. We use the conditional value-at-risk (CVaR) as the risk measure. The aim of the study is to investigate
the optimal ordering decision in such a setting under CVaR only and mean-CVaR criterions. For each case, we derive the closed-form
optimal solution and perform comparative statics to show the monotonicity properties and other characteristics of the optimal
decisions. We also compare our results with those of risk-neutral newsvendor.
Biography: XU Minghui (1975–), male, Associate professor, research interests: inventory control, supply chain management, risk management
and other related managerial areas. |
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Keywords: | newsvendor model risk aversion two purchase modes conditional value-at-risk (CVaR) |
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