Optimal Base Stock Level in Risk-Averse Inventory Model
碩士 === 國立中央大學 === 工業管理研究所 === 95 === Risk-neutral is a well-known concept in inventory models. It is characterizing replenishment policies that maximize expected total profit being equal to minimize expected total cost over the planning horizon. In this study, we incorporated the risk-averse concept...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/86478413313001390931 |
| Summary: | 碩士 === 國立中央大學 === 工業管理研究所 === 95 === Risk-neutral is a well-known concept in inventory models. It is characterizing replenishment policies that maximize expected total profit being equal to minimize expected total cost over the planning horizon. In this study, we incorporated the risk-averse concept into our model by considering a risk-averse decision maker who determines optimal base stock level in multi-period planning horizon.
Our approach of modeling risk aversion is to maximize the expected utility of the present value of net profits. We adopt the periodic order-up-to S inventory replenishment policy and consider back-order case only. We discuss the variance of the demand is increased by period t and how to effect the change of the base stock level in different utility functions. And we carry out the sensitivity analysis and it is analyzed how costs and back-order factor, others model parameters as well as risk-free interest rate influence the base stock level. In addition, we conclude that a risk-averse decision maker with a more concave utility function sets his base stock level to a lower value than the less risk-averse one.
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