Production and inventory planning under decreasing absolute risk aversion: A unified approach for sensitivity analysis

Article type: Research Article

Authors: Seshadri, Sridhar^; | Wu, Qi

Affiliations: The Indian School of Business, Hyderabad, India. E-mail: sridhar_seshadri@isb.edu | Weatherhead School of Management, Case Western Reserve University, Cleveland, OH, USA. E-mail: qxw132@case.edu

Note: [] Corresponding author: Sridhar Seshadri, The Indian School of Business, Hyderabad, India 500 032. E-mail: sridhar_ seshadri@isb.edu

Abstract: We report on a unified method to carry out sensitivity analysis under uncertainty for a wide range of problems in production planning, inventory management and portfolio planning, when the decision maker exhibits decreasing absolute risk aversion.

Keywords: Comparative statics, decisions under risk, production planning, inventory management, portfolio optimization

DOI: 10.3233/RDA-140101

Journal: Risk and Decision Analysis, vol. 5, no. 1, pp. 63-73, 2014