A risk-averse newsvendor with law invariant coherent measures of risk

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.

• Type: Journal
• Year: 2008
• Where: ORL
• Authors: Sungyong Choi, Andrzej Ruszczynski
• Keywords: Coherent Measures, Equivalent Representation, General Law, ORL 2008