2004/07/22 by Geert; 56633; Molenberghs, Emmanuel; 4228; Lesaffre · 2 citations
Economics, Econometrics and Finance · Decision Sciences · Business, Management and Accounting · #Financial Risk and Volatility Modeling #Probability and Risk Models #Advanced Queuing Theory Analysis
paper · doi:10.1002/0471667196
openalex publication_date 2004/07/22 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/29
A definition and classical formulation of the newsboy inventory model as a profit maximization problem is provided. The structure of the optimal stocking policy is given. Alternative formulations of mean-variance, down-side risk, VaR (value-at-risk), and CVaR (conditional value-at-risk) for general demand distributions and a minimax formulation for the distribution-free newsboy model are also presented. Demand estimation in the presence of fully observable and censored sales is discussed from the frequentist and Bayesian perspectives. Explicit formulas are provided for Bayesian updating of a comprehensive set of demand functions.