Inventory Control with an Exponential Utility Criterion
Mokrane Bouakiz, Matthew J. Sobel
Operations Research · 1992 · Volume 40 · Issue 3
Abstract
A base-stock policy is shown to be optimal when a dynamic version of the “news vendor” model is optimized with respect to an exponential utility criterion.
Keywords
dynamic programming/optimal control: risk-sensitive inventory model, inventory/production, uncertainty, stochastic: exponential utility, utility/preference: exponential utility in inventory model
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