The risk-averse (and prudent) newsboy
Management Science
Dual Stochastic Dominance and Related Mean-Risk Models
SIAM Journal on Optimization
Pricing and the News Vendor Problem: a Review with Extensions
Operations Research
Impact of Uncertainty and Risk Aversion on Price and Order Quantity in the Newsvendor Problem
Manufacturing & Service Operations Management
Inventory Cost Rate Functions with Nonlinear Shortage Costs
Operations Research
A Note on Probability Distributions with Increasing Generalized Failure Rates
Operations Research
Structural Properties of Buyback Contracts for Price-Setting Newsvendors
Manufacturing & Service Operations Management
Risk Aversion in Inventory Management
Operations Research
A risk-averse newsvendor with law invariant coherent measures of risk
Operations Research Letters
Robust Optimization in Simulation: Taguchi and Krige Combined
INFORMS Journal on Computing
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The classical risk-neutral newsvendor problem is to decide the order quantity that maximizes the one-period expected profit. In this note, we consider a risk-averse newsvendor with stochastic price-dependent demand. We adopt Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investigate the optimal pricing and ordering decisions in such a setting. For both additive and multiplicative demand models, we provide sufficient conditions for the uniqueness and existence of the optimal policy. Comparative statics show the monotonicity properties and other characteristics of the optimal pricing and ordering decisions. We also compare our results with those of the newsvendor with a risk-neutral attitude and a general utility function.