Coherent risk measures in inventory problems
نویسندگان
چکیده
منابع مشابه
Coherent risk measures in inventory problems
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min–max type formulations. For the single period newsvendor problem, we show that the structure of the optimal solution of the risk averse model is...
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Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. A detailed discussion of this can be found in two papers by Artzner, Delbaen, Eber and Heath, ADEH1 and ADEH2. It will not be repeated here. We will rather concentrate on the mathematics behind the concept of coherent risk measures. They were introduced in the two mentioned papers and the mathematical ...
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In this paper we study both market risks and non-market risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent”. We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules...
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Banks and regulatory agencies use monetary measures of risk to assess the risk taken by financial investors; important examples are given by the so–called Value at Risk and the class of Coherent Risk Measures. The existing risk measures are of a static, one period nature. In practice, however, portfolios consist, of course, of a variety of different assets and derivatives with distinct maturiti...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2007
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2006.07.016