Beklentile Dayalı Riske Maruz Değer Kriterli Gazete Satıcısı Modeli

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.

Anahtar Kelimeler:

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

Newsvendor Model with Expectile-based Value at Risk Criterion

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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