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2006-01-02Buch DOI: 10.18452/8350
Coherent Risk Measures in Inventory Problems
dc.contributor.authorAhmed, Shabbir
dc.contributor.authorCakmak, Ulas
dc.contributor.authorShapiro, Alexander
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:07:32Z
dc.date.available2017-06-16T20:07:32Z
dc.date.created2006-03-08
dc.date.issued2006-01-02
dc.date.submitted2005-12-21
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9002
dc.description.abstractWe analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min-max type formulations. For the single period newsvendor problem, we show that the structure of the optimal solution of the risk averse model is similar to that of the classical expected value problem. For a finite horizon dynamic inventory model, we show that, again, the optimal policy has a similar structure as that of the expected value problem. This result carries over even to the case when there is a fixed ordering cost. We also analyze monotonicity properties of the optimal order quantity with respect to the degree of risk aversion for certain risk measures.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectdynamic programmingeng
dc.subjectcoherent risk measureseng
dc.subjectinventory modelseng
dc.subjectnewsvendor problemeng
dc.subjectmean-absolute deviationeng
dc.subjectconditional-value-at-riskeng
dc.subject.ddc510 Mathematik
dc.titleCoherent Risk Measures in Inventory Problems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059972
dc.identifier.doihttp://dx.doi.org/10.18452/8350
local.edoc.pages16
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
dc.identifier.zdb2936317-2
bua.series.nameStochastic Programming E-Print Series
bua.series.issuenumber2006,1

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