Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27869
Title: Optimal pricing and stocking decisions for newsvendor problem with value-at-risk consideration
Authors: Chiu, CH
Choi, TM 
Keywords: Joint pricing and inventory decision
newsvendor
value-at-risk (VaR)
Issue Date: 2010
Publisher: Institute of Electrical and Electronics Engineers
Source: IEEE transactions on systems, man, and cybernetics. Part A, Systems and humans, 2010, v. 40, no. 5, 5443527, p. 1116-1119 How to cite?
Journal: IEEE transactions on systems, man, and cybernetics. Part A, Systems and humans 
Abstract: Motivated by the popularity of VaR measure in financial applications, we study the classical newsvendor problem with Value-at-Risk (VaR) consideration and price-dependent demands. We first investigate the problem's structural properties and derive analytically the optimal joint stocking and pricing decisions. We then explore the difference between the optimal decisions under the VaR formulation and the classical expected profit-maximization model. Finally, we reveal an interesting analytical relationship between the inventory service level and the VaR measure. Insights are generated.
URI: http://hdl.handle.net/10397/27869
ISSN: 1083-4427
DOI: 10.1109/TSMCA.2010.2043947
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