Inventory and Price Control under Time-consistent Coherent and Markov Risk Measure
نویسنده
چکیده
We use time-consistent coherent and Markov risk measure to study a risk-averse firm’s inventory and price control activities. Our dynamic programming model leads to optimal policy structures that are reminiscent of their risk-neutral counterparts. However, with risk aversion there emerge new patterns. First, monotone properties are derivable for the pricing policy when the convex risk set associated with the firm’s risk attitude constitutes a lattice under a suitably defined partial order. Next, a concept of optimism using the strong set order between risk sets can be introduced, and two risk measures ranked through optimism produce inventory and pricing decisions that can be ranked themselves.
منابع مشابه
Inventory and Price Control under Time-consistent Coherent and Markov Risk Measure–Unabridged Version
We use the recently proposed concept of time-consistent coherent and Markov risk measure on the study of a risk-averse firm’s inventory and price control activities. In our shock-driven setting which is different from the state-driven setting where the measure is first introduced, we show the suitability of dynamic programming formulations. On this basis, we examine pure inventory and joint inv...
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