A risk-averse newsvendor model with limited capacity and outsourcing under the CVaR criterion

详细信息    查看全文

• 作者：Zhenwei Luo ; Jinting Wang ; Wanting Chen
• 关键词：Newsvendor model ; marketing effort ; order quantity ; CVaR ; capacity constraint ; outsourcing
• 刊名：Journal of Systems Science and Systems Engineering
• 出版年：2015
• 出版时间：March 2015
• 年：2015
• 卷：24
• 期：1
• 页码：49-67
• 全文大小：707 KB
• 参考文献：1. Agrawal, V, Seshadri, S (2000) Impact of uncertainty and risk aversion on price and order quantity in the newsvendor problem. Manufacturing & Service Operations Management 2: pp. 410-423 CrossRef
  2. Ahmed, S, ?akmak, U, Shapiro, A (2007) Coherent risk measures in inventory problems. European Journal of Operational Research 182: pp. 226-238 CrossRef
  3. Burke, GJ, Carrillo, JE, Vakharia, AJ (2007) Single versus multiple supplier sourcing strategies. European Journal of Operational Research 182: pp. 95-112 CrossRef
  4. Chen, F, Federgruen, A (2000) Mean-variance analysis of basic inventory models.
  5. Chen, J 2014 (2014) Optimal strategy of the capital-constrained retailer based on CVaR. IEEE Workshop on Electronics, Computer and Applications. pp. 383-386
  6. Chen, X, Sim, M, Simchi-Levi, D, Sun, P (2007) Risk aversion in inventory management. Operations Research 55: pp. 828-842 CrossRef
  7. Chen, YF, Xu, M, Zhang, ZG (2009) Technical note -a risk-averse newsvendor model under the CVaR criterion. Operations Research 57: pp. 1040-1044 CrossRef
  8. Choi, S, Ruszczyński, A (2008) A risk-averse newsvendor with law invariant coherent measures of risk. Operations Research Letters 36: pp. 77-82 CrossRef
  9. Eeckhoudt, L, Gollier, C, Schlesinger, H (1995) The risk-averse (and prudent) newsboy. Management Science 41: pp. 786-794 CrossRef
  10. Erlebacher, SJ (2000) Optimal and heuristic solutions for the multi-item Newsvendor problem with capacity constraint. Production and Operations Management 9: pp. 303-318 CrossRef
  11. Gallego, G, Moon, I (1993) The distribution free newsboy problem: review and extensions. Journal of the Operational Research Society 44: pp. 825-834 CrossRef
  12. Hadley, G, Whitin, TM (1963) Analysis of Inventory Systems.
  13. Han, Y, Zhao, B, Song, H M (2013) Two-ordering newsvendor based on CVaR decision criteria with information updating. Journal of Applied Sciences 13: pp. 5611-5615 CrossRef
  14. Jorion, P (2006) Value at Risk. McGraw-Hill, New York
  15. Kraiselburd, S, Narayanan, VG, Raman, A (2004) Contracting in a supply chain with stochastic demand and substitute products. Production and Operations Management 13: pp. 46-62 CrossRef
  16. Lau, HS, Lau, HLA (1995) The multi-product multi-constraint newsboy problem: applications, formulation and solution. Journal of Operations Management 13: pp. 153-162 CrossRef
  17. Qin, Y, Wang, R, Vakharia, AJ, Chen, Y, Seref, MMH (2011) The newsvendor problem: review and directions for future research. European Journal of Operational Research 213: pp. 361-374 CrossRef
  18. Qiu, R, Shang, J, Huang, X (2014) Robust inventory decision under distribution uncertainty: a CVaR-based optimization approach. International Journal of Production Economics 153: pp. 13-23 CrossRef
  19. Rockafellar, RT, Uryasev, S (2000) Optimization of conditional value-at-risk. Journal of Risk 2: pp. 21-42
  20. Rockafellar, RT, Uryasev, S (2002) Conditional value-at-risk for general loss distributions. Journal of Banking & Finance 26: pp. 1443-1471 CrossRef
  21. Taaffe, K, Geunes, J, Romeijn,
• 刊物类别：Engineering
• 刊物主题：Systems and Information Theory in Engineering
  Game Theory and Mathematical Methods
  Operation Research and Decision Theory
  Chinese Library of Science
  
• 出版者：Systems Engineering Society of China, co-published with Springer-Verlag GmbH
• ISSN：1861-9576

文摘

For seasonal products, the retailers usually launch various marketing efforts, like advertising and promotion, to promote them in a selling season. While facing large demand from the customers, one should take the capacity constraint and outsourcing into consideration. Considering the shorten life cycles of most products, in this paper we adopt the traditional newsvendor model to investigate the optimal marketing effort along with optimal order quantity. We address the risk aversion issue and characterize the influence of the sellers-risk propensity with CVaR criterion, and we develop an effective algorithm to obtain the optimal strategy. The impact of sellers-risk propensity on the performance of the system is illustrated via numerical examples. The innovation of this paper is threefold. First, the optimal joint strategy of the marketing effort and order quantity is investigated and an efficient algorithm to find the optimal strategy is developed. Second, the capacity constraint option and an outsourcing strategy are studied jointly for excess products. Finally, the risk propensity of the seller and its influence are investigated by using the CVaR criterion, through which we obtain some new managerial insights.