Multiple product newsvendor problem based on different risk measurements

摘要：

Different risk constraint represents the different decisionmaking process of decisionmakers. This paper use the traditional MeanVariance, Value at Risk and Conditional Value at Risk which are from financial engineering to establish the optimum order risk decision model under the assumption of normal distribution. In order to illustrate the characteristics of different risk measurement constraint, the solutions among those three models is compared by numerical examples and their decisionmaking behaviors are summarized accordingly. In addition, Monte Carlo technique is used to get the sample simulation. According to the result of the three models, this paper compares these risk measurement and analyzes the relative advantages of Conditional Value at Risk to MeanVariance and Value at Risk.

关键词： Mean-Variance ValueatRisk ConditionalValue at Risk multiple product newsvendors

作者: Yan-Ju Zhou Qian Chen

作者单位: Business School, Central South University, Hunan Changsha, 410083

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-5

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）