Risk-sensitive capacity control in revenue management

被引：39

作者：

Barz, C. ^{[1
]}

Waldmann, K.-H. ^{[1
]}

机构：

[1] Univ Karlsruhe, Inst Wirtschaftstheorie & Operat Res, D-76128 Karlsruhe, Germany

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2007年 / 65卷 / 03期

关键词：

Markov decision processes; revenue management; exponential utility; risk-sensitivity; log-convex functions;

D O I：

10.1007/s00186-006-0135-8

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Both the static and the dynamic single-leg revenue management problem are studied from the perspective of a risk-averse decision maker. Structural results well-known from the risk-neutral case are extended to the risk-averse case on the basis of an exponential utility function. In particular, using the closure properties of log-convex functions, it is shown that an optimal booking policy can be characterized by protection levels, depending on the actual booking class and the remaining time. Moreover, monotonicity of the protection levels with respect to the booking class and the remaining time are proven.

引用

页码：565 / 579

页数：15

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