Accéder directement au contenu Accéder directement à la navigation
Article dans une revue

The newsvendor problem under multiplicative background risk

Abstract :

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.

Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal.univ-angers.fr/hal-03067908
Contributeur : Okina Université d'Angers <>
Soumis le : mardi 15 décembre 2020 - 15:19:21
Dernière modification le : mercredi 16 décembre 2020 - 03:47:35

Identifiants

Collections

Citation

Benoît Sévi. The newsvendor problem under multiplicative background risk. European Journal of Operational Research, 2010, 200 (3), pp.918 - 923. ⟨10.1016/j.ejor.2009.01.038⟩. ⟨hal-03067908⟩

Partager

Métriques

Consultations de la notice

17