A Parametric Analysis for a Multi-product Risk-averse Newsvendor
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
We consider a multi-product risk-averse newsvendor with a parametric analysis approach. For this risk-averse decision maker with multiple products, we use a well-known risk measure, CVaR (Conditional Value-at-Risk), which has been recently used in inventory management as well as finance literature. We first study our comparative static analysis for the model parameters in a multi-item setting. Especially, under the identical product assumption with independent and symmetric product demands, we prove that the optimal ordering quantity monotonously increases when the risk tolerance factor increases. We also prove that the optimal ordering quantity asymptotically converges to the corresponding risk-neutral solution as the number of products goes to infinity. Finally, we conduct a Monte Carlo simulation to obtain numerical solutions. All our analytical results are confirmed in the numerical study.
Abstract
We consider a multi-product risk-averse newsvendor with a parametric analysis approach. For this risk-averse decision maker with multiple products, we use a well-known risk measure, CVaR (Conditional Value-at-Risk), which has been recently used in inventory management as well as finance literature. We first study our comparative static analysis for the model parameters in a multi-item setting. Especially, under the identical product assumption with independent and symmetric product demands, we prove that the optimal ordering quantity monotonously increases when the risk tolerance factor increases. We also prove that the optimal ordering quantity asymptotically converges to the corresponding risk-neutral solution as the number of products goes to infinity. Finally, we conduct a Monte Carlo simulation to obtain numerical solutions. All our analytical results are confirmed in the numerical study.
참고문헌 (14)
- 안웅, "공급사슬에서 공급자 선택", 상업교육연구, 23(3), pp.283~300 (2009), 한국상업교육학회
- Arrow, K., "Optimal Inventory Policy", Econometrica, 19(3), pp.250~272 (1951)
- Chen, X., "Risk Aversion in Inventory Management", Operations Research, 55(5), pp.828~842 (2007)
- Choi, S., "A Multiproduct Risk-Averse Newsvendor with Law Invariant Coherent Measures of Risk", Operations Research, 59(2), pp.346~364 (2011)
- 천세학, "국내 중소기업들의 공급사슬망관리(SCM)에 대한 참여 동기에 관한 연구", 상업교육연구, 25(1), pp.135~150 (2011), 한국상업교육학회
- Eeckhoudt, L., "The Risk-averse (and Prudent) Newsboy", Management Science, 41(5), pp.786~794 (1995)
- Gotoh, J., "Newsvendor Solutions via Conditional Value-at-risk Minimization", European Journal of Operational Research, 179, pp.80~96 (2007)
- Ogryczak, W., "From Stochastic Dominance to Mean-Risk Models", European Journal of Operational Research, 116, pp.33~50 (1999)
- 이창수, "환경불확실성에 따른 물류관리시스템 정교성과 조직구조가 물류성과에 미치는 영향", 상업교육연구, 25(3), pp.215~236 (2011), 한국상업교육학회
- Ogryczak, W., "On Consistency of Stochastic Dominance and Mean-Semideviation Models", Mathematical Programming, 89, pp.217~232 (2001)
- Ogryczak, W., "Dual Stochastic Dominance and Related Mean-Risk Models", SIAM Journal on Optimization, 13(1), pp.60~78 (2002)
- Rockafellar, T. R., "Conditional Value-at-risk for General Loss Distributions", Journal of Banking and Finance, 26, pp.1443~1471 (2002)
- Schweitzer, M., "Decision Bias in the Newsvendor Problem with a Known Demand Distribution: Experimental Evidence", Management Science, 46(3), pp.404~420 (2000)
- Shapiro, A., "Asymptotics of Minimax Stochastic Programs", Statistics and Probability Letters, 78, pp.150~157 (2008)