• DocumentCode
    1842629
  • Title

    CVaR in the single-period stochastic cash balance problem

  • Author

    Liu, Shuren

  • Author_Institution
    Sch. of Math. & Comput. Sci., Xiangtan Univ., Xiangtan, China
  • Volume
    1
  • fYear
    2011
  • fDate
    13-15 May 2011
  • Firstpage
    569
  • Lastpage
    572
  • Abstract
    In this paper, we study a single-period stochastic cash balance problem in CVaR framework. We characterize the optimal policy for this problem. Furthermore, we show that the optimal policy parameters for this problem have the monotonicity property on the degree of risk aversion when there is no lost sale penalty cost, and the corresponding conclusion may not be true when there is lost sale penalty cost.
  • Keywords
    costing; risk management; sales management; stochastic processes; CVaR; conditional value-at-risk; lost sale penalty cost; optimal policy parameters; single-period stochastic cash balance problem; Equations; Marketing and sales; Markov processes; Mathematical model; Operations research; CVaR; Risk; Stochastic cash balance problem;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Business Management and Electronic Information (BMEI), 2011 International Conference on
  • Conference_Location
    Guangzhou
  • Print_ISBN
    978-1-61284-108-3
  • Type

    conf

  • DOI
    10.1109/ICBMEI.2011.5917000
  • Filename
    5917000
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1842629