Journal
OPERATIONS RESEARCH LETTERS
Volume 36, Issue 1, Pages 77-82Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.orl.2007.04.008
Keywords
newsboy problem; risk theory; stochastic programming
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For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization. (c) 2007 Published by Elsevier B.V.
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