Xue, Weili; Ma, Lijun; Shen, Houcai - In: International Journal of Production Economics 162 (2015) C, pp. 70-82
We consider a newsvendor who makes an ordering decision to meet stochastic demand and buys a put option written on the demand to hedge against the risk of low demand to maximize his expected utility, which is measured by the conditional value-at-risk (CVaR). The put option is fairly priced with...