期刊
INTERNATIONAL JOURNAL OF PRODUCTION RESEARCH
卷 54, 期 8, 页码 2449-2458出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/00207543.2015.1100765
关键词
opportunity loss; optimal order quantity; inventory; conditional Value-at-Risk
资金
- Natural Science Foundation of China [71125001, 71390524]
- Natural Science of Shandong Province [ZR2014GQ005]
- Natural Science Foundation of Zhejiang Province [LY15G010007]
- Research Grants from the Hong Kong Special Administrative Region [CityU 101113, PolyU5170-11E]
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.
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