传统的学者研究主要以利润最大化或者成本最小化为决策目标。后来的实证发现企业决策者在做决策的结果和传统目标的结果有偏差，发现这和决策者的风险态度有关，也即风险中性，风险偏好，风险厌恶。为此出现了几种刻画风险态度的方法：期望效用函数，均值-方差，VaR/CVaR，以及刻画损失厌恶的前景理论。
这里推荐一篇发表在Operation Research的用CVaR度量风险厌恶的文章。
A Risk-Averse Newsvendor Model Under the CVaR Criterion
Youhua (Frank) Chen；Minghui Xu；Zhe George Zhang

Abstract: 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.