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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.