In many revenue management applications risk aversion is crucial. In dynamic decision problems it is challenging to find the right balance between maximizing expected profits and minimizing their variance. In this paper, we present an efficient dynamic programming approach to leverage mean...

This paper analyzes a dynamic pricing and advertising model for the sale of perishable products under constant absolute risk aversion. We consider a time-dependent version of Gallego and van Ryzin's (1994) model with advertising effects, accounting for marginal unit costs. We derive closed-form...

In many revenue management applications risk-averse decision-making is crucial. In dynamic settings, however, it is challenging to find the right balance between maximizing expected rewards and avoiding poor performances. In this paper, we consider time-consistent mean-semivariance (MSV)...