Optimal Ordering Quantities for Multi-Products Based on the Multi-objective Conditional Value-at-Risk Model

摘要

This paper proposes a general multiobjective conditional value-at-risk model with multiple losses and period for ordering multi-products plan of firms.The concept of α-CVaR for the case of multiple losses with random variable under the multiple confidence level vector αat period is introduced.The α-CVaR indicates the conditional expected losses corresponding to the α-VaR.The problem of solving the minimal α-CVaR results in a nonlinear optimal problem (CVaR),which another optimal problem based on weight is shown that its optimal solutions is the solutions of (CVaR) for ordering multi-products plan.