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:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
48987
Deposited By:
Deposited On:
11 Jul 2011 21:26
Refereed?:
No
Published?:
Published
Last Modified:
04 Apr 2020 23:39