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The newsvendor problem with convex risk

Author

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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," IC3JM - Estudios = Working Papers 23950, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
    • Handle: RePEc:cte:imrepe:23950
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    More about this item

    Keywords

    Utility function;

    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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