摘要翻译:
本文扩展了分布鲁棒newsvendor的工作,将矩约束引入其中。保留了Wasserstein距离作为模糊度度量的使用。构造了无穷维原问题;利用矩对偶问题导出了更简单的有限维对偶问题。一个重要的研究问题是:分配模糊性如何影响最优订货量和相应的利润/成本?为了对此进行研究,本文提出了一些理论,并以汽车销售为例进行了研究。最后,我们对进一步研究的方向提出了一些意见。
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英文标题:
《Distributionally Robust Newsvendor with Moment Constraints》
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作者:
Derek Singh, Shuzhong Zhang
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最新提交年份:
2020
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Mathematical Finance 数学金融学
分类描述:Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法,包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类:Economics 经济学
二级分类:Theoretical Economics 理论经济学
分类描述:Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要:
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infinite dimensional primal problem is formulated; problem of moments duality is invoked to derive the simpler finite dimensional dual problem. An important research question is: How does distributional ambiguity affect the optimal order quantity and the corresponding profits/costs? To investigate this, some theory is developed and a case study in auto sales is performed. We conclude with some comments on directions for further research.
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