| Description |
1 online resource (viii, 124 pages) : illustrations |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
| Series |
Forschungsergebnisse der Wirtschaftsuniversität Wien ; Band 49 |
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Forschungsergebnisse der Wirtschaftsuniversität Wien ; Bd. 49.
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| Note |
Print version record. |
| Bibliography |
Includes bibliographical references. |
| Contents |
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. |
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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. |
| Summary |
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. |
| Subject |
Inventory control -- Mathematical models.
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Risk management -- Mathematical models.
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Gestion des stocks -- Modèles mathématiques.
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Gestion du risque -- Modèles mathématiques.
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BUSINESS & ECONOMICS -- Purchasing & Buying.
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Inventory control -- Mathematical models
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Risk management -- Mathematical models
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| In: |
Books at JSTOR: Open Access JSTOR |
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OAPEN (Open Access Publishing in European Networks) OAPEN |
| Other Form: |
Print version: Fichtinger, Johannes. Single-period inventory model with spectral risk measures. Frankfurt am Main : Peter Lang, ©2011 9783631615737 (DLC) 2012493852 (OCoLC)768169074 |
| ISBN |
9783631753989 (electronic bk.) |
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3631753985 (electronic bk.) |
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9783631615737 |
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3631615736 |
| Standard No. |
10.3726/b13918 doi |
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AU@ 000065068804 |
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AU@ 000065197828 |
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