Optimal inventory and hedging decisions with CVaR consideration
Year of publication: |
2015
|
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Authors: | Xue, Weili ; Ma, Lijun ; Houcai Shen |
Published in: |
International journal of production economics. - Amsterdam [u.a.] : Elsevier, ISSN 0925-5273, ZDB-ID 1092526-0. - Vol. 162.2015, p. 70-82
|
Subject: | Put option | Newsvendor model | Conditional value-at-risk (CVaR) | Lagerhaltungsmodell | Inventory model | Risikomaß | Risk measure | Hedging | Portfolio-Management | Portfolio selection | Lagermanagement | Warehouse management | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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