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The newsvendor problem with convex risk

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  • Charron, Jean Philippe
  • Balbás, Alejandro

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.

Suggested Citation

  • Charron, Jean Philippe & Balbás, Alejandro, 2016. "The newsvendor problem with convex risk," INDEM - Working Paper Business Economic Series 23950, Instituto para el Desarrollo Empresarial (INDEM).
    • Handle: RePEc:cte:idrepe:23950
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    References listed on IDEAS

    as
    1. Gotoh, Jun-ya & Takano, Yuichi, 2007. "Newsvendor solutions via conditional value-at-risk minimization," European Journal of Operational Research, Elsevier, vol. 179(1), pages 80-96, May.
    2. R. Rockafellar & Stan Uryasev & Michael Zabarankin, 2006. "Generalized deviations in risk analysis," Finance and Stochastics, Springer, vol. 10(1), pages 51-74, January.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    News vendor problem;

    JEL classification:

    • M50 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Personnel Economics - - - General
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • M30 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - General

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