The newsvendor problem with convex risk

Jean Philippe Charron

IC3JM - Estudios = Working Papers from Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM)

Abstract: The newsvendor problem is a classical topic in Management Science and Operations Research. It deals with purchases and price strategies when a least one deadline is involved. In this paper we will assume that the decision is driven by an optimization problem involving both expected pro ts and risks. As a main novelty, risks will be given by a convex risk measure, including the usual utility functions. This approach will allow us to nd necessary and su¢ cient optimality conditions under very general frameworks, since we will not need any speci c assumption about the demand distribution.

Keywords: Utility; function; Saddle; point; conditions; News; vendor; problem; Risk; Convex; risk; measure (search for similar items in EconPapers)
JEL-codes: M21 M30 M50 (search for similar items in EconPapers)
Date: 2016-12-12
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Persistent link: https://EconPapers.repec.org/RePEc:cte:imrepe:23950

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