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Robust Optimization for the Loss-Averse Newsvendor Problem
Yu, Hui1; Zhai, Jia2; Chen, Guang-Ya3
2016-12-01
Source PublicationJOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN0022-3239
Volume171Issue:3Pages:1008-1032
AbstractIn economics and decision theory, loss aversion refers to people's tendency to strongly prefer avoiding losses to acquiring gains. Many studies have revealed that losses are more powerful, psychologically, than gains. We initially introduce loss aversion into the decision framework of the robust newsvendor model, to provide the theoretical guidance and referential decision for loss-averse decision makers when only the mean and variance of the demand distribution are known. We obtain the explicit expression for the optimal order policy that maximizes the loss-averse newsvendor's worst-case expected utility. We find that the robust optimal order policy for the loss-averse newsvendor is quite different from that for the risk-neutral newsvendor. Furthermore, the impacts of loss aversion level on the robust optimal order quantity and on the traditional optimal order quantity are roughly the same.
KeywordRobust optimization Newsvendor problem Loss aversion
DOI10.1007/s10957-016-0870-9
Language英语
Funding ProjectFundamental Research Funds for the Central Universities of China[CDJSK100211] ; Scientific Research Foundation ; Chongqing University of Technology
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000389232900014
PublisherSPRINGER/PLENUM PUBLISHERS
Citation statistics
Cited Times:6[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/24297
Collection中国科学院数学与系统科学研究院
Affiliation1.Chongqing Univ, Sch Econ & Business Adm, Chongqing 400030, Peoples R China
2.Chongqing Univ Technol, Sch Business Adm, Chongqing 400054, Peoples R China
3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Yu, Hui,Zhai, Jia,Chen, Guang-Ya. Robust Optimization for the Loss-Averse Newsvendor Problem[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,2016,171(3):1008-1032.
APA Yu, Hui,Zhai, Jia,&Chen, Guang-Ya.(2016).Robust Optimization for the Loss-Averse Newsvendor Problem.JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,171(3),1008-1032.
MLA Yu, Hui,et al."Robust Optimization for the Loss-Averse Newsvendor Problem".JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 171.3(2016):1008-1032.
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