【时间】2017年6月16日（周五）15：00－16：30

【地点】经济管理学院4楼会议室

【主讲】岳晓航

【主题】A Newsvendor model with auto correlated demands under a time consistent dynamic CVaR measure.

【摘要】We examine a dynamic newsvendor problem by incorporating the issues of risk aversion and auto correlated demands. Due to autocorrelation, static risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) are time inconsistent that can result in inconsistent decisions over time. In this paper, we present a time-consistent dynamic CVaR measure and examine it in the context of a newsvendor problem with auto correlated demands. Due to the concavity of our dynamic CVaR measure, our dynamic program formulation associated with our dynamic newsvendor problem is not immediately separable. However, by exploring certain properties of the dynamic CVaR measure and the underlying profit function, we show how our dynamic program can be transformed into a sequence of (single-period) risk averse newsvendor problems that depend on the observed demand history. By examining the structure of the optimal order quantities of our dynamic newsvendor problem, we find both intuitive and counter- intuitive results. First, when demands are positively correlated, it is optimal to order “less” when the decision maker becomes more risk-averse. However, when demands are negatively correlated, we present exact conditions under which the manager should order “more” when the decision maker becomes more risk-averse. We also show that the same results continue to hold when the underlying demand follows a general ARMA(m, n) process.

 

【主讲人介绍】岳晓航：美国威斯康星大学米尔沃基校园(The University of Wisconsin- Milwaukee)商学院教授，美国供应链管理协会、管理科学及运筹学协会和运营管理协会会员；主要从事供应链与物流管理、生产与市场管理和工业制造系统管理的研究工作, 担任国际知名期刊POM的编委。已在 Operations Research, Production and Operations Management, Naval Research Logistics, IIE Transactions, Decision Sciences, IEEE, EJOR, IJPR, IJPE, ANOR, Omega, JORS, JBR等国际知名SCI/SSCI刊源上发表论文30余篇。现为 OR, MSOM, EJOR, JOM等多个国际知名期刊的审稿人。

Employment: The University of Wisconsin- Milwaukee, School of business.

Research Interests: Supply Chain and Logistic Management, Production and Operations Management