Conditional Value-at-Risk In a Newsvendor Model with Underage Loss and Overage Penalty

摘要：

Conditional Value-at-Risk is widely applied in finance, which can measure the expected profit that is below mean profit of quantile η (0 < η ≤1. The paper uses an extended newsvendor model in this framework to study the retailers choice in the event of the retailer who charges underage loss or overage penalty cost, discusses the impact brought by overage penalty and examines how the degree of risk aversion affects retailers order quantity under this situation.

关键词： Newsvendor model CVαR overage penalty supply chain management

作者: Weimin Ma Ningfang Dong Yingying Wang

作者单位: School of economics and management Tongji University Shanghai, China

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Emergency Management and Management Sciences(2010 IEEE应急管理与管理科学国际会议 ICEMMS)

会议地点: 北京

会议语种:英文

页码: 25-28

在线出版日期: 2010-08-08（万方平台首次上网日期，不代表论文的发表时间）