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.