Table 2 Comparison between risk measures in newsvendor problems
From: Comparing validity of risk measures on newsvendor models in open innovation perspective
Risk measures \ Model types | Consistency to the four axioms for coherent risk measures | |||||
|---|---|---|---|---|---|---|
Convexity | Monotonicity | Translation Equivariance | Positive Homogeneity | |||
Utility Function | Yes | Yes | No | No | ||
Stochastic Dominance | It is a reference criterion. Thus, it is not directly applicable for implementation. | |||||
Chance Constraints (or Value-at-risk) | No | Yes | Yes | Yes | ||
Mean-risk Analysis | Coherent | Mean-deviation from quantile or mean-semideviation | Yes for all of the four axioms | |||
General Coherent Risk Measures | Yes for all of the four axioms | |||||
Non-Coherent | Mean-variance | No | No | Yes | No | |
Mean-standard deviation | No | No | Yes | Yes | ||