Value-at-risk optimal policies for revenue management problems

Matthias Koenig and Joern Meissner

International Journal of Production Economics, 2015, vol. 166, issue C, 11-19

Abstract: Consider a single-leg dynamic revenue management problem with fare classes controlled by capacity in a risk-averse setting. The revenue management strategy aims at limiting the down-side risk, and in particular, value-at-risk. A value-at-risk optimised policy offers an advantage when considering applications which do not allow for a large number of reiterations. They allow for specifying a confidence level regarding undesired scenarios.

Keywords: Capacity control; Revenue management; Risk; Value-at-risk (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (10)

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Working Paper: Value-At-Risk Optimal Policies for Revenue Management Problems (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:proeco:v:166:y:2015:i:c:p:11-19

DOI: 10.1016/j.ijpe.2015.03.027

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