Beklentile Dayalı Riske Maruz Değer Kriterli Gazete Satıcısı Modeli

Yıl 2019, Cilt: 9 Sayı: 4, 781 - 788, 15.10.2019

Hande Günay Akdemir

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

Öz

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

Öz

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.

Anahtar Kelimeler

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

Kaynakça

• Akdemir, H. G., 2018. Pricing and ordering decisions of risk-averse newsvendors: Expectile-based value at risk (E-VaR) approach. New Trends in Mathematical Sciences, 6(2), 102-109.
• Arıkan, E. ve Fichtinger, J., 2017. The risk-averse newsvendor problem under spectral risk measures: A classification with extensions. European Journal of Operational Research, 256(1), 116-125.
• Artzner, P., Delbaen, F., Eber, J. M. ve Heath, D., 1999. Coherent measures of risk. Mathematical finance, 9(3), 203-228.
• Bellini, F., 2012. Isotonicity properties of generalized quantiles. Statistics & Probability Letters, 82(11), 2017-2024.
• Föllmer, H. ve Weber, S., 2015. The axiomatic approach to risk measures for capital determination. Annual Review of Financial Economics, 7, 301-337.
• Gneiting, T., 2011. Making and evaluating point forecasts. Journal of the American Statistical Association, 106(494), 746-762.
• Gotoh, J. Y. ve Takano, Y., 2007. Newsvendor solutions via conditional value-at-risk minimization. European Journal of Operational Research, 179(1), 80-96.
• Jammernegg, W. ve Kischka, P., 2007. Risk-averse and risk-taking newsvendors: a conditional expected value approach. Review of Managerial Science, 1(1), 93-110.
• Katariya, A. P., Cetinkaya, S. ve Tekin, E., 2014. On the comparison of risk-neutral and risk-averse newsvendor problems. Journal of the Operational Research Society, 65(7), 1090-1107.
• Kuan, C. M., Yeh, J. H. ve Hsu, Y. C., 2009. Assessing value at risk with care, the conditional autoregressive expectile models. Journal of Econometrics, 150(2), 261-270.
• Newey, W. K. ve Powell, J. L., 1987. Asymmetric least squares estimation and testing. Econometrica: Journal of the Econometric Society, 819-847.
• Rockafellar, R. T. ve Uryasev, S., 2000. Optimization of conditional value-at-risk. Journal of risk, 2, 21-42.
• Sarykalin, S., Serraino, G. ve Uryasev, S., 2008. Value-at-risk vs. conditional value-at-risk in risk management and optimization. Tutorials in Operations Research. INFORMS, Hanover, MD, 270-294.
• Xu, M. ve Li, J., 2010. Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor models. Journal of Systems Science and Complexity, 23(6), 1054-1070.
• Zhang, D., Xu, H. ve Wu, Y., 2009. Single and multi-period optimal inventory control models with risk-averse constraints. European Journal of Operational Research, 199(2), 420-434.