Beklentile Dayalı Riske Maruz Değer Kriterli Gazete Satıcısı Modeli

Year 2019, Volume: 9 Issue: 4, 781 - 788, 15.10.2019

Hande Günay Akdemir

https://doi.org/10.17714/gumusfenbil.586261

Abstract

Bu çalışmada, riski göz önüne alan gazete satıcısı çözümlerini
belirlemek üzere Beklentile dayalı Riske Maruz Değer (EVaR) metriği amaç
fonksiyonu olarak kullanılmaktadır. Optimal sipariş miktarı, gazete satıcısı
risk odaklı davranışla karar verdiğinde klasik beklenen kâr maksimizasyonu ile
belirlenen miktardan sapmaktadır. EVaR minimizasyon modelimiz, klasik gazete
satıcısı modelini tek parametreli bir risk metriği yardımıyla genişletmekte ve
rezervde tutulması gereken sermaye ile beklenen kâr arasındaki ödünleşime imkân
sağlamaktadır. Önerilen modeli açıklamak üzere üç farklı talep dağılımı için,
farklı riskten kaçınma ve riski sevme seviyelerine dayanan optimal çözümler
hesaplanmaktadır.

Keywords

Beklentile dayalı riske maruz değer, Gazete satıcısı modeli, Risk metrikleri, Risk tercihleri

Newsvendor Model with Expectile-based Value at Risk Criterion

Abstract

In this paper, we use Expectile-based Value at Risk (EVaR) measure as an
objective function to determine newsvendor solutions with risk considerations.
When the newsvendor makes a decision with risk-driven behavior, the optimal
order quantity deviates from the classical expected profit-maximizing quantity.
Our EVaR minimization model extends the classical newsvendor model through a
one-parameter risk measure and facilitates trade-off analysis between the
capital to be held in reserve and the expected profit. To illustrate the
proposed model, we present optimal solutions based on different levels of risk
aversion and risk-taking for three different demand distributions.

Keywords

Expectile-based value at risk, Newsvendor model, Risk measures, Risk preferences

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