Risk-sensitive dynamic pricing for a single perishable product

Authors:
Michael Z. F. Li;Weifen Zhuang
Affiliations:
Nanyang Business School, Nanyang Technological University, Singapore 639798, Singapore;Nanyang Business School, Nanyang Technological University, Singapore 639798, Singapore
Venue:
Operations Research Letters
Year:
2009

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Abstract

We show that the monotone structures of dynamic pricing for a single perishable product under risk-neutrality are preserved under risk-sensitivity with the additive general utility and atemporal exponential utility functions. We also show that the optimal price is decreasing over the degree of risk-sensitivity under the exponential class of both additive and atemporal utility functions.