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dc.creatorArias Serna, María Andreaspa
dc.creatorPuerta Yepes, María Eugeniaspa
dc.creatorEscalante Coterio, César Edinsonspa
dc.creatorArango Ospina, Gerardospa
dc.date.accessioned2017-06-15T21:49:40Z
dc.date.available2017-06-15T21:49:40Z
dc.date.created2017spa
dc.identifier.citationArias Serna, M. A.; Puerta Yepes, M. E.; Escalante Coterio, C. E. & Arango Ospina, G. (2017).(Q; r) Model with CV aR of costs minimization. Journal of industrial and management optimization. Volume 13, number 1, pp. 135-146spa
dc.identifier.issn15475816spa
dc.identifier.urihttp://hdl.handle.net/11407/3350
dc.descriptionIn the classical stochastic continuous review, (Q,r) model [18,19], the inventory cost c(Q,r) has an averaging term which is given as an integral of the expected costs over the different inventory positions during the lead time on any given cycle. The main objective of the article is to study risk averse optimization in the classical (Q,r) model using CVaRα as a coherent risk measure with respect to the probability distribution of the demand D on inventory position costs (the sum of the inventory holding and backorder penality cost), for any given (generic) confidence level α∈[0,1). We show that the objective function is jointly convex in (Q,r). We also compare the risk averse solution and some other solutions in both analytical and computational ways. Additionally, some general and useful results are obtained.spa
dc.language.isoengspa
dc.publisherAIMS - American Institute of Mathematical Sciencesspa
dc.relation.isversionofhttp://aimsciences.org/journals/pdfs.jsp?paperID=12311&mode=fullspa
dc.rightsinfo:eu-repo/semantics/restrictedAccessspa
dc.sourceJournal of industrial and management optimizationspa
dc.subject(Q,r) modelspa
dc.subjectCVaRspa
dc.subjectRisk averse optimizationspa
dc.subjectRisk measurespa
dc.subjectInventory modelsspa
dc.typeinfo:eu-repo/semantics/articlespa
dc.typeArticlespa
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccessspa
dc.publisher.programIngeniería Financieraspa
dc.identifier.doidoi:10.3934/jimo.2016008spa
dc.publisher.facultyFacultad de Ingenieríasspa
dc.identifier.e-issn1553166Xspa
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dc.creator.affiliationArias Serna, María Andrea; Universidad de Medellínspa
dc.creator.affiliationPuerta Yepes, María Eugenia; Universidad EAFITspa
dc.creator.affiliationEscalante Coterio, César Edinson; Empresas Públicas de Medellínspa
dc.creator.affiliationArango Ospina, Gerardo; Universidad EAFITspa
dc.relation.ispartofesJournal of industrial and management optimization. Volume 13, number 1, january 2017 pp. 135-146spa
dc.title.english(Q,r) model with CVaRα of costs minimizationeng


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