利润-CVaR准则下考虑缺货成本的报童模型研究

Study on Newsvendor Model with Lost Sale Penalty Cost under Criterion of Profit-CVaR

摘要: 本文研究了在利润-CVaR准则下，缺货惩罚成本和期望利润权重对厌恶风险的报童的最优订货量的影响。提出了一种组合的期望收益和风险，既反映报童追求高利润的愿望，又反映其对潜在风险的控制。采用该组合为目标函数，对报童的订货策略进行了研究。研究表明，考虑缺货惩罚时，最优订货量依赖于风险厌恶程度、期望利润值权重以及单位缺货惩罚成本，并通过数值算例进行验证。

Abstract: In this paper, in a profit-CVaR framework, we study the impact of lost sale penalty cost and expected profit weight on a risk aversion newsvendor’s optimal ordering quantity. A combination of the expected profit and CVaR is proposed, which reflects the desire of the risk-averse newsvendor to maximize the profit on the one hand and minimize the downside risk of the profit on the other hand. By using the combination as an objective function, the ordering strategies of the newsvendor are studied. We show that when there is lost sale penalty cost, the optimal ordering quantity depends on degree of risk aversion, expected profit weight and value of shortage cost. And then we illustrate our findings by examples.