Optimal Pricing and Stocking Decisions for Newsvendor Problem With Value-at-Risk Consideration

被引：36
|
作者：
Chiu, Chun-Hung [1 ]
Choi, Tsan-Ming [1 ]
机构：
[1] Hong Kong Polytech Univ, Fac Appl Sci & Text, Inst Text & Clothing, Hong Kong, Hong Kong, Peoples R China
来源：
IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART A-SYSTEMS AND HUMANS | 2010年 / 40卷 / 05期
关键词：
Joint pricing and inventory decision; newsvendor; value-at-risk (VaR); MEAN-VARIANCE ANALYSIS; AVERSE NEWSVENDOR; INVENTORY CONTROL; SUPPLY-CHAIN; COORDINATION; SINGLE; INFORMATION; OBJECTIVES; MODELS;
D O I：
10.1109/TSMCA.2010.2043947
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
Motivated by the popularity of VaR measure in financial applications, we study the classical newsvendor problem with Value-at-Risk (VaR) consideration and price-dependent demands. We first investigate the problem's structural properties and derive analytically the optimal joint stocking and pricing decisions. We then explore the difference between the optimal decisions under the VaR formulation and the classical expected profit-maximization model. Finally, we reveal an interesting analytical relationship between the inventory service level and the VaR measure. Insights are generated.
引用
收藏
页码：1116 / 1119
页数：4
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