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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 ; Economics and Management school, Beihang University, Beijing, 100083, PRC; Business school, Central South University, Hunan Changsha, 410083 ; 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:

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

Date of Conference:

21-23 June 2006