CVaR in the Single-Period Stochastic Cash Balance Problem

摘要：

In this paper, we study a singleperiod stochastic cash balance problem in CVaR framework. We characterize the optimal policy for this problem. Furthermore, we show that the optimal policy parameters for this problem have the monotonicity property on the degree of risk aversion when there is no lost sale penalty cost, and the corresponding conclusion may not be true when there is lost sale penalty cost.

关键词： CVaR Stochasticcashbalanceproblem Risk

作者: Shuren Liu

作者单位: School of Mathematics and Computational Science in Xiangtan University, Xiangtan, CHINA , 411105

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: 1-4

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）