A risk-averse newsvendor with law invariant coherent measures of risk
✍ Scribed by Sungyong Choi; Andrzej Ruszczyński
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 174 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0167-6377
No coin nor oath required. For personal study only.
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In the expected utility case, the risk-aversion measure is given by the Arrow-Pratt index. Three proposals of a risk-aversion measure for the nonexpected utility case are examined. The first one sets "the second derivative of the acceptance frontier as a measure of local risk aversion." The second o
I decade has exposed producers and processors to potentially large losses. Even though the agricultural environment has become more risky, livestock and crop produeers have shown great reluctance to use the futures market, in spite of substantial empirical evidence which suggests that price risk can