For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization. © 2007.
CITATION STYLE
Choi, S., & Ruszczyński, A. (2008). A risk-averse newsvendor with law invariant coherent measures of risk. Operations Research Letters, 36(1), 77–82. https://doi.org/10.1016/j.orl.2007.04.008
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