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Optimal Two-Stage Ordering Policy for Multi-products with CVaR Constraints under stochastic environment

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3 Author(s)
Zhou Yanju ; Econ. & Manage. Sch., Beihang Univ., Beijing ; Qiu Wanhua ; Wang Zongrun

Two-stage ordering problem with stochastic demand is often optimized by the expected value method in most of previous literatures, where a decision maker is often assumed a risk neutral. Evidently, this approach is impracticable when the corresponding volatility is larger and is not conform to real decision-making behavior. Based on the outstanding characteristics of conditional value-at-risk (CVaR) as a risk measure, the paper developed a optimal-order approach for multi-product with CVaR constraints in two-stages ordering case, and the approach is composed of two mean-CVaR models formulated as two linear programming problems. Numerical analysis is performed at last

Published in:

Management of Innovation and Technology, 2006 IEEE International Conference on  (Volume:2 )

Date of Conference:

21-23 June 2006