论文信息 - A risk-averse newsvendor with law invariant coherent measures of risk

A risk-averse newsvendor with law invariant coherent measures of risk

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.

Andrzej Ruszczynski | Sungyong Choi | A. Ruszczynski | Sungyong Choi

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