Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/62353
Title: On the newsvendor model with conditional value-at-risk of opportunity loss
Authors: Xu, X
Meng, Z
Ji, P 
Dang, C
Wang, H
Keywords: Opportunity loss
Optimal order quantity
Inventory
Conditional value-at-risk
Issue Date: 2016
Publisher: Taylor & Francis
Source: International journal of production research, 2016, v. 54, no. 8, p. 2449-2458 How to cite?
Journal: International journal of production research 
Abstract: To manage the risk arising from uncertainty in market demand, this paper introduces the Conditional Value-at-Risk (CVaR) measure into the decision framework of the newsvendor who aims to minimise his opportunity loss. It is found under the CVaR measure that the newsvendor's optimal order quantity is increasing in the confidence level when the understock loss is bigger than the overstock loss. This implies that an over-ordering may be even more caused by the newsvendor's risk aversion about opportunity loss than risk seeking behaviour. Under this optimal order quantity, it is proved that the newsvendor's expected profit and expected opportunity loss are decreasing and increasing in the confidence level, respectively. Furthermore, some management insights are presented to facilitate the risk management of the newsvendor model.
URI: http://hdl.handle.net/10397/62353
ISSN: 0020-7543
EISSN: 1366-588X
DOI: 10.1080/00207543.2015.1100765
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