From: Comparing validity of risk measures on newsvendor models in open innovation perspective
Risk Measures \ Model Types | Single-product Newsvendor | Multi-product Newsvendor | ||
---|---|---|---|---|
Utility Function | Choi and Ruszczyński (2011) | Choi and Ruszczyński (2011) | ||
Stochastic Dominance | It is a reference criterion. Thus, it is not directly applicable for implementation. | |||
Chance Constraints (or Value-at-risk) | Özler et al. (2009) | Özler et al. (2009) | ||
Mean-risk Analysis | Coherent | Mean-deviation from quantile or mean-semideviation | Chen et al. (2009) Yang et al. (2008) | N/A |
General Coherent Risk Measures | Choi and Ruszczyński (2008) | Choi and Ruszczyński (2011) | ||
Non-Coherent | Mean-variance | N/A | N/A | |
Mean-standard deviation | N/A | N/A |