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Liquid asset allocation using "newsvendor" models with convex shortage costs

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  • Gerchak, Yigal
  • Wang, Shaun

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  • Gerchak, Yigal & Wang, Shaun, 1997. "Liquid asset allocation using "newsvendor" models with convex shortage costs," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 17-21, June.
    • Handle: RePEc:eee:insuma:v:20:y:1997:i:1:p:17-21
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    References listed on IDEAS

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    1. Louis Eeckhoudt & Christian Gollier & Harris Schlesinger, 1995. "The Risk-Averse (and Prudent) Newsboy," Management Science, INFORMS, vol. 41(5), pages 786-794, May.
    2. Venter, Gary G., 1991. "Premium Calculation Implications of Reinsurance Without Arbitrage," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 223-230, November.
    3. Yigal Gerchak & David Mossman, 1992. "On the Effect of Demand Randomness on Inventories and Costs," Operations Research, INFORMS, vol. 40(4), pages 804-807, August.
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    Cited by:

    1. Soham Ghosh & Sujay Mukhoti, 2023. "Non-parametric generalised newsvendor model," Annals of Operations Research, Springer, vol. 321(1), pages 241-266, February.
    2. Sillanpää, Ville & Liesiö, Juuso & Käki, Anssi, 2021. "Procurement decisions over multiple periods under piecewise-linear shortage costs and fixed capacity commitments," Omega, Elsevier, vol. 100(C).
    3. Jian Yang & Jim (Junmin) Shi, 2023. "Discrete‐item inventory control involving unknown censored demand and convex inventory costs," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 45-64, January.
    4. Yang, Hongsuk & Schrage, Linus, 2009. "Conditions that cause risk pooling to increase inventory," European Journal of Operational Research, Elsevier, vol. 192(3), pages 837-851, February.

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