A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk.

Sungyong Choi Andrzej Ruszczynski Yao Zhao

Published in: Oper. Res. (2011)

Keyphrases

risk averse
risk measures
risk neutral
risk aversion
stochastic programming
utility function
decision makers
portfolio management
expected utility
production planning
multistage
linear program
inventory level