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Optimal structural policies for ambiguity and risk averse inventory and pricing models

Publication ,  Journal Article
Chen, X; Sun, P
Published in: SIAM Journal on Control and Optimization
March 26, 2012
Published version (DOI)

This paper discusses multiperiod stochastic joint inventory and pricing models when the decision maker is risk and ambiguity averse. We study infinite horizon models with discounted and long run average optimization criteria. The main result of this paper is establishing the optimality of stationary (s, S, p) policies for the infinite horizon inventory and pricing models. © 2012 Society for Industrial and Applied Mathematics.

Duke Scholars

Peng Sun
Author Peng Sun Fuqua School of Business

Published In

SIAM Journal on Control and Optimization

DOI

10.1137/100791488

ISSN

0363-0129

Publication Date

March 26, 2012

Volume

50

Issue

1

Start / End Page

133 / 146

Related Subject Headings

  • Industrial Engineering & Automation
  • 5108 Quantum physics
  • 4901 Applied mathematics
  • 0913 Mechanical Engineering
  • 0906 Electrical and Electronic Engineering
  • 0102 Applied Mathematics
 

Citation

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MLA
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Chen, X., & Sun, P. (2012). Optimal structural policies for ambiguity and risk averse inventory and pricing models. SIAM Journal on Control and Optimization, 50(1), 133–146. https://doi.org/10.1137/100791488
Chen, X., and P. Sun. “Optimal structural policies for ambiguity and risk averse inventory and pricing models.” SIAM Journal on Control and Optimization 50, no. 1 (March 26, 2012): 133–46. https://doi.org/10.1137/100791488.
Chen X, Sun P. Optimal structural policies for ambiguity and risk averse inventory and pricing models. SIAM Journal on Control and Optimization. 2012 Mar 26;50(1):133–46.
Chen, X., and P. Sun. “Optimal structural policies for ambiguity and risk averse inventory and pricing models.” SIAM Journal on Control and Optimization, vol. 50, no. 1, Mar. 2012, pp. 133–46. Scopus, doi:10.1137/100791488.
Chen X, Sun P. Optimal structural policies for ambiguity and risk averse inventory and pricing models. SIAM Journal on Control and Optimization. 2012 Mar 26;50(1):133–146.

Published In

SIAM Journal on Control and Optimization

DOI

10.1137/100791488

ISSN

0363-0129

Publication Date

March 26, 2012

Volume

50

Issue

1

Start / End Page

133 / 146

Related Subject Headings

  • Industrial Engineering & Automation
  • 5108 Quantum physics
  • 4901 Applied mathematics
  • 0913 Mechanical Engineering
  • 0906 Electrical and Electronic Engineering
  • 0102 Applied Mathematics