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VaR as a risk measure for multiperiod static inventory models

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  • Luciano, Elisa
  • Peccati, Lorenzo
  • Cifarelli, Donato M.

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File URL: http://www.sciencedirect.com/science/article/B6VF8-4789NN3-1B/2/be6eef9cd1d19f628d53b3e9150df1bf
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Production Economics.

Volume (Year): 81-82 (2003)
Issue (Month): 1 (January)
Pages: 375-384

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Handle: RePEc:eee:proeco:v:81-82:y:2003:i:1:p:375-384

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Web page: http://www.elsevier.com/locate/ijpe

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Cited by:
  1. Borgonovo, E. & Peccati, L., 2009. "Financial management in inventory problems: Risk averse vs risk neutral policies," International Journal of Production Economics, Elsevier, vol. 118(1), pages 233-242, March.
  2. Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
  3. Özler, Aysun & Tan, BarIs & Karaesmen, Fikri, 2009. "Multi-product newsvendor problem with value-at-risk considerations," International Journal of Production Economics, Elsevier, vol. 117(2), pages 244-255, February.
  4. Wing-Keung Wong, 2007. "Stochastic Dominance and Mean-Variance Measures of Profit and Loss for Business Planning and Investment," SCAPE Policy Research Working Paper Series 0705, National University of Singapore, Department of Economics, SCAPE.
  5. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
  6. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
  7. Wu, Meng & Zhu, Stuart X. & Teunter, Ruud H., 2013. "The risk-averse newsvendor problem with random capacity," European Journal of Operational Research, Elsevier, vol. 231(2), pages 328-336.

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