Technical Note - A Risk-Averse Newsvendor Model Under the CVaR Criterion
By Youhua (Frank) Chen, Minghui Xu, Zhe George Zhang. Operational Research, 2009
333 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Information Systems, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/01b358813f26f41b27e3c28668151a526c8fcdfc
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In Economics and Econometrics
In Management Information Systems
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Citations in the corpus
- Supply chain risk analysis with mean-variance models: a technical review (2016, methodology): “In the supply chain context, they are employed in many studies such as in the newsvendor problem setting (e.g., Chen et al. 2009; Chahar and Taaffe 2009; Chiu and Choi 2010; Wu et al. 2010; Jammernegg and Kischka 2012), and other single-echelon inventory control problems (e.g., Luciano et al. 2003;…”
- Dual-channel supply chain pricing decisions with a risk-averse retailer (2014, background): “Chen, Xu, and Zhang (2009) adopted CVaR as the decision criterion to model a risk-averse newsvendor problem with stochastic price-dependent demand and gave sufficient conditions for the uniqueness and existence of the optimal policy for both additive and multiplicative demand models.”
- Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2013, neutral): “Several papers study risk aversion in the newsvendor model by using as objective function expected utility ([18]), mean-variance ([13]), or conditional value-at risk ([14]).”