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首页> 外文会议>IEEE International Conference on Industrial Engineering and Engineering Management >Tradeoff Between Expected Reward and Conditional Value-at-Risk Criterion in Newsvendor Models
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Tradeoff Between Expected Reward and Conditional Value-at-Risk Criterion in Newsvendor Models

机译：在新闻国模型中预期奖励与有条件价值的薪酬之间的权衡

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摘要

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 weight used in the objective function and the degree of risk aversion of the newsvendor.
机译：解决新闻监督者环境风险的两个常见方法是最大限度地提高实现目标利润和新闻监督者的预期效用的可能性。在本文中，我们介绍了加权均衡目标。特别是，我们考虑在风险（CVAR）的预期利润和有条件价值之间的权衡。 CVAR标准测量下降低于分量水平的利润的平均值，这通常称为风险（VAR）的价值。我们派生了最佳阶数，并在最佳订单数量方面讨论比较静态特性，客观函数中使用的重量和新闻监测者的风险程度。

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