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The single-period inventory model with spectral risk measures

Fichtinger, Johannes (2010) The single-period inventory model with spectral risk measures. Doctoral thesis, WU Vienna University of Economics and Business.

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Abstract

Inventory management and pricing decisions based on quantitative models both in industrial practice and academic works often rely on minimizing expected cost or maximizing expected revenues or profits, which refers to the concept of risk-neutrality of the decision maker. Although many useful insights in operational problems can be obtained by such an approach, it is well understood that incorporating attitudes toward risk is an important lever for building new theories in other fields such as economics and finance. The level of risk associated with an investment might be as important as the expected gain from the investment. Hence, it is necessary to find appropriate measures of risk and the appropriate objectives related to or including these risk measures for inventory control & pricing problems. After the axiomatic foundation of coherent risk measures the application of risk measures to inventory models such as Conditional Value-at-Risk (CVaR) or convex combinations of mean and CVaR became popular. In our work we apply spectral risk measures to the single-period, single-item, linear cost inventory control & pricing problem (also known as newsvendor problem) and derive optimal policies. By doing so, we are able to unify results obtained so far in the literature under the common concept of spectral risk measures for the case of zero and non-zero shortage penalty cost. In particular, we show convexity results and structural properties for the inventory control and, under some assumptions, unimodality results as well as structural properties for the joint inventory & pricing problem. An extensive numerical analysis illustrates the findings. (author's abstract)

Item Type: Thesis (Doctoral)
Keywords: Stock management / marketing / risk behavior / stochastic model
Classification Codes: RVK QP 530
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement
Depositing User: Repository Administrator
Date Deposited: 10 Jun 2010 09:37
Last Modified: 02 Jun 2011 03:19
URI: http://epub.wu.ac.at/id/eprint/1855

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