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The single-period inventory model with spectral risk measures

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 news...

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Bibliographic Details
Main Author: Fichtinger, Johannes
Format: eBook
Language:English
Published: Frankfurt am Main Peter Lang [2011], 2011
Series:Forschungsergebnisse der Wirtschaftsuniversität Wien
Subjects:
Business & Economics / Purchasing & Buying
Online Access:
Collection: JSTOR Open Access Books - Collection details see MPG.ReNa
Table of Contents:
  • Cover
  • 1 Introduction and Foundations
  • 1.1 The Newsvendor Model
  • 1.1.1 The inventory problem
  • 1.1.2 The inventory &amp
  • 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 &amp
  • Pricing Problem with Risk Measures
  • 4.1 The basic inventory &amp
  • 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 &amp
  • pricing problem
  • 4.1.3 Results for the pricing-only problem
  • 4.1.4 Numerical study of the basic inventory &amp
  • pricing problem
  • 4.1.5 Analysis of the mean-CVaR risk spectrum
  • 4.2 The inventory &amp
  • 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
  • Includes bibliographical references

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