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The Single-Period Inventory Model with Spectral Risk Measures.

Bibliographic Details
Main Author: Fichtinger, Johannes.
Format: eBook
Language:English
Published: Frankfurt a.M. : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2011.
Edition:1st ed.
Series:Forschungsergebnisse der Wirtschaftsuniversitaet Wien Series
Subjects:
Electronic books.
Online Access:Click to View
Table of Contents:
  • Cover
  • 1 Introduction and Foundations
  • 1.1 The Newsvendor Model
  • 1.1.1 The inventory problem
  • 1.1.2 The inventory &amp
  • pricing problem
  • 1.2 Terminology, definitions used and conventions
  • 1.3 Structure of the work
  • 2 Risk Measurement and Optimization
  • 2.1 Early approaches to risk measures
  • 2.1.1 Expected utility theory
  • 2.1.2 Symmetric and downside risk measures
  • 2.1.3 Value-at-Risk (VaR)
  • 2.1.4 Artzner's axioms of coherency: How to measure risk
  • 2.1.5 VaR in view of Artzner's axioms
  • 2.2 Conditional Value-at-Risk (CVaR)
  • 2.2.1 Definition of conditional Value-at-Risk
  • 2.2.2 Optimization of CVaR
  • 2.3 Spectral measures of risk
  • 2.3.1 Definition of spectral measures of risk
  • 2.3.2 Discussion on how to model the risk spectrum
  • 2.3.3 Optimization of general spectral measures of risk
  • 3 Inventory Problem with Risk Measures
  • 3.1 A review of inventory control with risk preferences
  • 3.2 Basic inventory control problem
  • 3.2.1 Optimal policy and structural properties for the basic inventory problem
  • 3.2.2 Specific examples of risk spectra in the basic inventory problem
  • 3.2.3 Numerical study of the basic inventory control problem
  • 3.3 Inventory control with shortage penalty cost
  • 3.3.1 Optimal policy and structural properties for the inventory problem with shortage penalty costs
  • 3.3.2 Specific examples of risk spectra in the inventory problem with shortage penalty cost
  • 3.3.3 Numerical study of the inventory control problem with shortage penalty cost
  • 3.4 Applications in supply chain management
  • 4 Inventory &amp
  • Pricing Problem with Risk Measures
  • 4.1 The basic inventory &amp
  • pricing problem
  • 4.1.1 Necessary properties of the demand (error) distribution and risk spectra preserving them
  • 4.1.2 Results for the joint optimal inventory &amp
  • pricing problem.
  • 4.1.3 Results for the pricing-only problem
  • 4.1.4 Numerical study of the basic inventory &amp
  • pricing problem
  • 4.1.5 Analysis of the mean-CVaR risk spectrum
  • 4.2 The inventory &amp
  • pricing problem with shortage penalty cost
  • 4.2.1 Joint optimality and unimodality
  • 4.2.2 Joint optimal controls
  • 4.2.3 Joint optimal performance measures
  • 5 Conclusion
  • References
  • A Proofs.

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