Financial management in inventory problems: Risk averse vs risk neutral policies

Borgonovo, Emanuele; Peccati, Lorenzo

doi:10.1016/j.ijpe.2008.08.040

Cited by 44 publications

(23 citation statements)

References 16 publications

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“…Another class of VaR models in inventory control has been proposed by Borgonovo and Peccati (2009) who offer a quantitative measurement of the similarity/discrepancy of policies reflecting different risk attitudes. In Borgonovo and Peccati (2011), the authors extend the proposed model and introduce a comprehensive approach to the sensitivity analysis of riskcoherent inventory models.…”

Section: Operational Risk Measurement In Financial Services and Manufmentioning

confidence: 99%

Incorporating single and multiple losses in operational risk: a multi-period perspective

Mizgier¹,

Wimmer

2017

Journal of the Operational Research Society

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Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses.We empirically validate our approach using an extensive data set of operational disruptions experienced by firms from the financial services and manufacturing industry sectors. The results of our simulations point out that operational risk is significantly underestimated if the events leading to multiple losses are not accounted for in the firms' long-term capital planning.

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Section: Operational Risk Measurement In Financial Services and Manufmentioning

confidence: 99%

Incorporating single and multiple losses in operational risk: a multi-period perspective

Mizgier¹,

Wimmer

2017

Journal of the Operational Research Society

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“…The estimate (27) is universal in the sense that it is valid for arbitrary φ. F (x) of the form (18).…”

Section: Hypererlang Approximation Of Arbitrary Distributionsmentioning

confidence: 99%

“…In such cases, the inventory management problem is formulated as an optimization problem under fuzzy information [13][14][15][16][17]. In some works (see, for example, [18,19]) single-period (single-period) control problems of singleand multi-item reserves are solved using the strategy of minimal average and conditional Risk or neutral risk.…”

Section: Introductionmentioning

confidence: 99%

A Logistical Approach to Managing the Resources of Multi Nomenclature Spare Parts of a Corporate Car Service in Conditions of Risk and Uncertainty of Demand

Ashraf¹

2017

SJBM

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Abstract:The task of determining the optimal sizes of spare parts for an auto-service enterprise based on the maximum profit criterion for a discrete distribution of demand is formulated as a problem of quadratic programming with linear constraints. To calculate the probabilistic measure of the distribution of the values of the demand vector components, an approximation is used of the empirical distribution function of the demand components by hyper-Erlanger distribution functions, and the subsequent calculation of the corresponding distribution densities.

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“…In revenue management, the objective function of Cooper and Gupta (2006, (1), p. 222) is PD. In inventory management, the recent works of Ahmed et al (2007), Gotoh and Takano (2007), and Borgonovo and Peccati (2008) formulate the decision-making question as a risk coherent problem. All the objective functions of these works are PD.…”

Section: Literature Review and Problem Statementmentioning

confidence: 99%

“…SP with coherent risk measures is nowadays pervasive in Finance (Artzner et al 1999;Rockafellar and Uryasev 2002;Benati 2004;Siegmann and Lucas 2005) and has gained recent interest in Inventory Management (Gotoh and Takano 2007;Ahmed et al 2007;Borgonovo and Peccati 2008). Convexity properties, duality aspects and risk-coherence of the optimization problems have been thoroughly discussed in the literature.…”

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confidence: 99%

Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Borgonovo

Peccati

2009

Ann Oper Res

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This work introduces a new analytical approach to the formulation of optimization problems with piecewise-defined (PD) objective functions. First, we introduce a new definition of multivariate PD functions and derive formal results for their continuity and differentiability. Then, we obtain closed-form expressions for the calculation of their moments. We apply these findings to three classes of optimization problems involving coherent risk measures. The method enables one to obtain insights on problem structure and on sensitivity to imprecision at the problem formulation stage, eliminating reliance on ad-hoc post-optimality numerical calculations.

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Financial management in inventory problems: Risk averse vs risk neutral policies

Cited by 44 publications

References 16 publications

Incorporating single and multiple losses in operational risk: a multi-period perspective

Incorporating single and multiple losses in operational risk: a multi-period perspective

A Logistical Approach to Managing the Resources of Multi Nomenclature Spare Parts of a Corporate Car Service in Conditions of Risk and Uncertainty of Demand

Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

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