Title :
CVaR in the single-period stochastic cash balance problem
Author_Institution :
Sch. of Math. & Comput. Sci., Xiangtan Univ., Xiangtan, China
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;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5917000