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
Issue Date: 2016
Source: International journal of production research, 2016, v. 54, no. 8, p. 2449-2458
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.
Keywords: Opportunity loss
Optimal order quantity
Inventory
Conditional value-at-risk
Publisher: Taylor & Francis
Journal: International journal of production research 
ISSN: 0020-7543
EISSN: 1366-588X
DOI: 10.1080/00207543.2015.1100765
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

16
Last Week
0
Last month
Citations as of Aug 18, 2020

WEB OF SCIENCETM
Citations

17
Last Week
0
Last month
Citations as of Sep 18, 2020

Page view(s)

164
Last Week
0
Last month
Citations as of Sep 15, 2020

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.