The Single-Period Inventory Model with Spectral Risk Measures

• Autore: Fichtinger Johannes
• Pubblicazione: Frankfurt a.M. : , : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, , 2011; ©2012
• Edizione: 1st ed.
• Descrizione fisica: viii, 124 p. : ill. ; ; 22 cm
• Disciplina: 658.787
• Soggetto topico: Inventory control - Mathematical models; Risk management - Mathematical models
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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. ; 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: The single-period inventory model with spectral risk measures
• ISBN: 3-631-75398-5
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910310643903321
• Lo trovi qui: Univ. Federico II
• Serie: Forschungsergebnisse der Wirtschaftsuniversitaet Wien Series