Scheduled System Maintenance:
Some services will be unavailable Sunday, March 29th through Monday, March 30th. We apologize for the inconvenience.
By Topic

Tradeoff between expected reward and conditional value-at-risk criterion in newsvendor models

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Minghui Xu ; Wuhan Univ., Wuhan ; Chen, F.Y.

Two common approaches to addressing risk in the newsvendor setting are to maximize the probability of achieving a target profit and the newsvendor's expected utility, respectively. In this paper we introduce a weighted mean-risk objective. In particular, we consider the tradeoff between the expected profit and conditional value at risk (CVaR). The CVaR criterion measures the average value of the profit falling below a quantile level which is commonly known as the value at risk (VaR). We derive the optimal order quantities and discuss comparative static properties in terms of optimal order quantity, the wight used in the objective function and the degree of risk aversion of the newsvendor.

Published in:

Industrial Engineering and Engineering Management, 2007 IEEE International Conference on

Date of Conference:

2-4 Dec. 2007