Risk Management of Two-period Inventory Models for Perishable or Deteriorating Products Based on Conditional Value-at-Risk
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- HASUIKE Takashi
- Graduate School of Information Science and Technology, Osaka University
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説明
This paper considers inventory problems for perishable or deteriorating products to maximize the total profit considering high- and low-priority customers based on the conditional Value-at-Risk (cVaR). The cVaR is a useful risk measure in economics and finance, which satisfies all requirements of ideal risk measures such as coherence and stochastic dominance. In order to apply random sampling derived from known distributions or historical data to our proposed model and to develop an analytical and efficient solution algorithm, the scenario-based solution algorithm is developed by performing equivalent transformations into a linear programming problem. Furthermore, numerical examples are provided to compare our proposed model with the previous standard model based on the expected value for the total profit. Furthermore, the results also show differences from the previous cVaR-based model with only one demand under some random distributions.
収録刊行物
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- 日本経営工学会論文誌
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日本経営工学会論文誌 64 (2E), 231-243, 2013
公益社団法人 日本経営工学会
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詳細情報 詳細情報について
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- CRID
- 1390001205504530432
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- NII論文ID
- 10031197124
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- NII書誌ID
- AN10561806
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- ISSN
- 21879079
- 13422618
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可