The newsvendor problem under multiplicative background risk

TitreThe newsvendor problem under multiplicative background risk
Type de publicationArticle de revue
AuteurSévi, Benoît
TypeArticle scientifique dans une revue à comité de lecture
Année2010
LangueAnglais
Date2010
Numéro3
Pagination918 - 923
Volume200
Titre de la revueEuropean Journal of Operational Research
Mots-clésderived, expected, multiplicative, newsvendor
Résumé en anglais

This note studies the single-period newsvendor problem when the newsvendor faces a multiplicative neutral independent background risk in an expected utility framework. It is shown that multiplicative risk vulnerability is a sufficient condition to guarantee a decrease in the optimal order. A weaker sufficient condition which has more interpretability is also provided and discussed. This result sheds light on situations where exchange, tax or inflation rates risks, which apply multiplicatively to the final wealth, are at work.

URL de la noticehttp://okina.univ-angers.fr/publications/ua979
DOI10.1016/j.ejor.2009.01.038
Lien vers le document

http://dx.doi.org/10.1016/j.ejor.2009.01.038