﻿ 利润-CVaR准则下考虑缺货成本的报童模型研究

# 利润-CVaR准则下考虑缺货成本的报童模型研究Study on Newsvendor Model with Lost Sale Penalty Cost under Criterion of Profit-CVaR

Abstract: In this paper, in a profit-CVaR framework, we study the impact of lost sale penalty cost and expected profit weight on a risk aversion newsvendor’s optimal ordering quantity. A combination of the expected profit and CVaR is proposed, which reflects the desire of the risk-averse newsvendor to maximize the profit on the one hand and minimize the downside risk of the profit on the other hand. By using the combination as an objective function, the ordering strategies of the newsvendor are studied. We show that when there is lost sale penalty cost, the optimal ordering quantity depends on degree of risk aversion, expected profit weight and value of shortage cost. And then we illustrate our findings by examples.

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