Optimal Ordering Quantities for Multi-Products Based on the Multi-objective Conditional Value-at-Risk Model

摘要：

This paper proposes a general multiobjective conditional value-at-risk model with multiple losses and period for ordering multi-products plan of firms.The concept of α-CVaR for the case of multiple losses with random variable under the multiple confidence level vector αat period is introduced.The α-CVaR indicates the conditional expected losses corresponding to the α-VaR.The problem of solving the minimal α-CVaR results in a nonlinear optimal problem (CVaR),which another optimal problem based on weight is shown that its optimal solutions is the solutions of (CVaR) for ordering multi-products plan.

关键词： Multiobjective conditional value-at-risk Supply chain Ordering quantities for multi-products Pareto efficient solutions

作者: Zhiqing Meng Chuangyin Dang Min Jiang

作者单位: College of Business and Administration,Zhejiang University of Technology Dept.of Manu.Engi.& Engi.Management,City University of Hong Kong

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 524-529

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）