VaR as a risk measure for multiperiod static inventory models

By Elisa Luciano, L. Peccati, D. Cifarelli. 2003

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Multi-product newsvendor problem with value-at-risk considerations (2009, background): “In Section 4, the two-product newsvendor problem with a VaR constraint is formulated as a mathematical program by deriving the probability distribution of the total profit.”
On the demand distributions of spare parts (2012, unknown): “Extensions into the distribution of inventory costs are feasible and intuitively appealing (Luciano et al. 2003) and further work into the issue of the efficient computation of VaR would constitute an important addition to the current state of knowledge in the area of inventory control.”
Supply chain risk analysis with mean-variance models: a technical review (2016, methodology): “…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; Tapiero 2005).”