Risk-Averse Selective Newsvendor Problems.

Selective Newsvendor;Value-at-Risk;Conditional Value-at-Risk;Industrial and Operations Engineering;Engineering;Industrial and Operations Engineering

Waring, Arleigh CatherineSeiford, Lawrence M. ;

University of Michigan

关键词: Selective Newsvendor;    Value-at-Risk;    Conditional Value-at-Risk;    Industrial and Operations Engineering;    Engineering;    Industrial and Operations Engineering;   

Others  :  https://deepblue.lib.umich.edu/bitstream/handle/2027.42/96059/awaring_1.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

This dissertation examines a generalization of the selective newsvendor problem that accounts for risk-aversion.The selective newsvendor problem introduces demand shaping into the traditional newsvendor problem through selection decisions by considering a firm that procures and delivers a good within a single selling season in a number of different markets.Prior to the selling season, the firm determines how much to procure and also in which markets to operate.To measure risk-aversion we consider both Value-at-Risk and Conditional Value-at-Risk, common risk measures used in portfolio optimization.We first consider a decision maker who optimizes a weighted sum of expected profit and Conditional Value-at-Risk, a coherent risk measure.We summarize the results for the newsvendor problem without selection decisions and utilize these results to show that, similar to the risk-neutral selective newsvendor problem, the optimal solution to the weighted sum risk-averse selective newsvendor problem can be found among a small number of candidate solutions satisfying an intuitively appealing ranking structure.We then establish a branch and bound procedure to identify the Pareto efficient frontier for a bicriteria optimization problem maximizing both expected profit and Conditional Value-at-Risk.Finally, we study the risk-averse selective newsvendor considering Value-at-Risk, a non-coherent risk measure lacking subadditivity and convexity.We show that as in the Conditional Value-at-Risk case, we can use a branch and bound type procedure to identify the expected profit-Value-at-Risk Pareto efficient frontier for a selective newsvendor.