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Risk Minimizing Strategies for Revenue Management Problems with Target Values

Koenig, M and Meissner, J (2009) Risk Minimizing Strategies for Revenue Management Problems with Target Values. Working Paper. The Department of Management Science, Lancaster University.

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    Abstract

    Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue management problem. Instead on focusing on maximizing the expected revenue, the decision maker has the main objective of minimizing the risk of failing to achieve a given target revenue. Interpreting the revenue management problem in the framework of finite Markov decision processes, we obtain a dynamic programming solution which generates a policy minimizing risk of not attaining a specified target revenue. We compare this solution with recently proposed risk-sensitive policies in a numerical study.

    Item Type: Monograph (Working Paper)
    Uncontrolled Keywords: Capacity Control ; Revenue Management ; Multi-Period ; Risk ; Target Level Criterion
    Subjects:
    Departments: Lancaster University Management School > Management Science
    ID Code: 48987
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:26
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:19
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48987

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