In thiswork,wediscusstheeffectofriskmeasureselectioninthedeterminationof inventorypolicies.Weconsideraninventorysystemcharacterizedbythelossfunction of Lucianoetal.[2003.VaRasariskmeasureformulti-periodstaticinventorymodels. International JournalofProductionEconomics81–82,375–384].Wederivethe optimization problemsfacedbyriskneutral,quadraticutility,mean-absoluteandCVaR decision makers.Resultsshowthatwhiletheglobalnatureoftheoptimalpolicyis assuredforriskcoherentandriskneutraldecisionmakers,theconvexityofthe quadraticutilityproblemdependsonthestochasticpropertiesofdemand.We investigatetheeconomicandstochasticdeterminantsofthedifferentpolicies.This allows ustoestablishtheconditionsunderwhicheachtypeofdecisionmakeris indifferenttoimprecisioninthedistributionfamilies.Finally,wediscussthenumerical impactofthechoiceoftheriskmeasurebymeansofamulti-iteminventory. The introduction ofanapproachbasedonSavageScoresallowsustoofferaquantitative measurementofthesimilarity/discrepancyofpoliciesreflectingdifferentriskattitudes.

Financial Management in Inventory Problems: Risk Averse vs Risk Neutral Policies

BORGONOVO, EMANUELE;PECCATI, LORENZO
2009

Abstract

In thiswork,wediscusstheeffectofriskmeasureselectioninthedeterminationof inventorypolicies.Weconsideraninventorysystemcharacterizedbythelossfunction of Lucianoetal.[2003.VaRasariskmeasureformulti-periodstaticinventorymodels. International JournalofProductionEconomics81–82,375–384].Wederivethe optimization problemsfacedbyriskneutral,quadraticutility,mean-absoluteandCVaR decision makers.Resultsshowthatwhiletheglobalnatureoftheoptimalpolicyis assuredforriskcoherentandriskneutraldecisionmakers,theconvexityofthe quadraticutilityproblemdependsonthestochasticpropertiesofdemand.We investigatetheeconomicandstochasticdeterminantsofthedifferentpolicies.This allows ustoestablishtheconditionsunderwhicheachtypeofdecisionmakeris indifferenttoimprecisioninthedistributionfamilies.Finally,wediscussthenumerical impactofthechoiceoftheriskmeasurebymeansofamulti-iteminventory. The introduction ofanapproachbasedonSavageScoresallowsustoofferaquantitative measurementofthesimilarity/discrepancyofpoliciesreflectingdifferentriskattitudes.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/40063
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