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Mean-Variance Newsvendor Model with a Background Risk

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Proceedings of the 5th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2014)

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Abstract

This paper examines the effects of an additive background risk on the optimal order quantity of a risk-averse newsvendor with Mean-Variance utility. We derive several unambiguous comparative statics results with the additive background risk with the use of the concept of the Mean-Variance vulnerability.

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Acknowledgments

The authors are grateful for financial supports from Foundation of Educational Committee of Jiangxi Province (Grant: GJJ14726), and Science Foundation of Jiujiang University (Grant: 8899209).

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Authors and Affiliations

  1. Department of Sciences, Jiujiang University, Jiujiang, China

    Jiang-feng Li & Qiong Wu

Authors
  1. Jiang-feng Li
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  2. Qiong Wu
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Corresponding author

Correspondence to Jiang-feng Li .

Editor information

Editors and Affiliations

  1. Tianjin, China

    Ershi Qi

  2. Xi'an Jiaotong University, China, Xi'an, China

    Qin Su

  3. Industrial Engineering Institution of CM, Tianjin, China

    Jiang Shen

  4. Xi'an Jiaotong University, China, Xi'an, China

    Feng Wu

  5. Tianjin University, China, Tianjin, China

    Runliang Dou

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Li, Jf., Wu, Q. (2015). Mean-Variance Newsvendor Model with a Background Risk. In: Qi, E., Su, Q., Shen, J., Wu, F., Dou, R. (eds) Proceedings of the 5th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2014). Proceedings of the International Asia Conference on Industrial Engineering and Management Innovation, vol 1. Atlantis Press, Paris. https://doi.org/10.2991/978-94-6239-100-0_13

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