Sungyong Choi

A Multi-Product Risk-Averse Newsvendor with Exponential Utility Function

  • Sungyong Choi
  • Andrzej Ruszczyński
    • Categories Production and Logistics, Supply Chain Management Tags , ,

    We consider a multi-product newsvendor using an exponential utility function. We first establish a few basic properties for the newsvendor regarding the convexity of the model and monotonicity of the impact of risk aversion on the solution. When the product demands are independent and the ratio of the degree of risk aversion to the number … Read more

    A Multi-Product Risk-Averse Newsvendor with Law Invariant Coherent Measures of Risk

  • Sungyong Choi
  • Andrzej Ruszczyński
  • Yao Zhao
    • Categories Production and Logistics, Supply Chain Management Tags , , , ,

    We consider a multi-product newsvendor under the law-invariant coherent risk measures. We first establish a few fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk aversion leads to decreased orders. … Read more