04171nam 22004933 450 991031064390332120240308225725.03-631-75398-510.3726/b13918(CKB)4100000007655082(MiAaPQ)EBC30686210(Au-PeEL)EBL30686210(EXLCZ)99410000000765508220230911d2011 uy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierThe Single-Period Inventory Model with Spectral Risk Measures1st ed.Frankfurt a.M. :Peter Lang GmbH, Internationaler Verlag der Wissenschaften,2011.©2012.viii, 124 p. ill. ;22 cmForschungsergebnisse der Wirtschaftsuniversität Wien ;Bd. 493-631-61573-6 Includes bibliographical references.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.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.Forschungsergebnisse der Wirtschaftsuniversitaet Wien SeriesInventory controlMathematical modelsRisk managementMathematical modelsInventory controlMathematical models.Risk managementMathematical models.658.787Fichtinger Johannes1241449MiAaPQMiAaPQMiAaPQBOOK9910310643903321The single-period inventory model with spectral risk measures2879890UNINA