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The newsvendor problem with convex risk

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URI: https://hdl.handle.net/10016/23950
ISSN: 1989-8843
UXXI: DT/0000001494
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indemwp1606.pdf (386.03 KB)
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2016-12-12
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Abstract
The newsvendor problem is a classical topic in Management Science and Operations Research. It deals with purchases and price strategies when a least one deadline is involved. In this paper we will assume that the decision is driven by an optimization problem involving both expected pro ts and risks. As a main novelty, risks will be given by a convex risk measure, including the usual utility functions. This approach will allow us to nd necessary and su¢ cient optimality conditions under very general frameworks, since we will not need any speci c assumption about the demand distribution.
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News vendor problem, Risk, Convex risk measure, Utility function, Saddle point conditions
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INDEM - Working Paper Business Economic Series