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190325 r ||| eng |
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|z 9783631615737
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|a 9783631615737
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|z 3631615736
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|a 3631615736
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4 |
|a TS160
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|a Fichtinger, Johannes
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|a The single-period inventory model with spectral risk measures
|h Elektronische Ressource
|c Johannes Fichtiger
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|a Frankfurt am Main
|b Peter Lang
|c [2011], 2011
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| 300 |
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|a viii, 124 pages
|b illustrations
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|a Cover -- 1 Introduction and Foundations -- 1.1 The Newsvendor Model -- 1.1.1 The inventory problem -- 1.1.2 The inventory & -- pricing problem -- 1.2 Terminology, definitions used and conventions -- 1.3 Structure of the work -- 2 Risk Measurement and Optimization -- 2.1 Early approaches to risk measures -- 2.1.1 Expected utility theory -- 2.1.2 Symmetric and downside risk measures -- 2.1.3 Value-at-Risk (VaR) -- 2.1.4 Artzner's axioms of coherency: How to measure risk -- 2.1.5 VaR in view of Artzner's axioms -- 2.2 Conditional Value-at-Risk (CVaR) -- 2.2.1 Definition of conditional Value-at-Risk -- 2.2.2 Optimization of CVaR -- 2.3 Spectral measures of risk -- 2.3.1 Definition of spectral measures of risk -- 2.3.2 Discussion on how to model the risk spectrum -- 2.3.3 Optimization of general spectral measures of risk -- 3 Inventory Problem with Risk Measures -- 3.1 A review of inventory control with risk preferences -- 3.2 Basic inventory control problem -- 3.2.1 Optimal policy and structural properties for the basic inventory problem -- 3.2.2 Specific examples of risk spectra in the basic inventory problem -- 3.2.3 Numerical study of the basic inventory control problem -- 3.3 Inventory control with shortage penalty cost -- 3.3.1 Optimal policy and structural properties for the inventory problem with shortage penalty costs -- 3.3.2 Specific examples of risk spectra in the inventory problem with shortage penalty cost -- 3.3.3 Numerical study of the inventory control problem with shortage penalty cost -- 3.4 Applications in supply chain management -- 4 Inventory & -- Pricing Problem with Risk Measures -- 4.1 The basic inventory & -- pricing problem -- 4.1.1 Necessary properties of the demand (error) distribution and risk spectra preserving them -- 4.1.2 Results for the joint optimal inventory & -- pricing problem
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|a 4.1.3 Results for the pricing-only problem -- 4.1.4 Numerical study of the basic inventory & -- pricing problem -- 4.1.5 Analysis of the mean-CVaR risk spectrum -- 4.2 The inventory & -- pricing problem with shortage penalty cost -- 4.2.1 Joint optimality and unimodality -- 4.2.2 Joint optimal controls -- 4.2.3 Joint optimal performance measures -- 5 Conclusion -- References -- A Proofs
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|a Includes bibliographical references
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| 653 |
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|a BUSINESS & ECONOMICS / Purchasing & Buying
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| 041 |
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|a eng
|2 ISO 639-2
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| 989 |
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|b ZDB-39-JOA
|a JSTOR Open Access Books
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|a Forschungsergebnisse der Wirtschaftsuniversität Wien
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| 024 |
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|a 10.3726/b13918
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|t OAPEN (Open Access Publishing in European Networks)
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|t Books at JSTOR: Open Access
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| 776 |
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|z 3631753985
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|z 9783631753989
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| 856 |
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|u https://www.jstor.org/stable/10.2307/j.ctvc16nvg
|x Verlag
|3 Volltext
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|a 650
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|a Inventory management and pricing decisions based on quantitative models both in industrial practice and academic works often rely on minimizing expected cost, which refers to the concept of risk-neutrality of the decision maker. In this title, spectral risk measures are applied to price-setting newsvendor problem and optimal policies are derived
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