On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor
Published Online:20 May 2021https://doi.org/10.1287/opre.2020.2091
References
- (2006) Measuring and mitigating the costs of stockouts. Management Sci. 52(11):1751–1763.Link, Google Scholar
- (2005) Optimal inequalities in probability theory: A convex optimization approach. SIAM J. Optim. 15(3):780–804.Crossref, Google Scholar
- (2018) Robust sample average approximation. Math. Programming Ser. A 171:217–282.Crossref, Google Scholar
- (1972) More bounds on the expectation of a convex function of a random variable. J. Appl. Probab. 9:803–812.Crossref, Google Scholar
- (2013) Robust solutions of optimization problems affected by uncertain probabilities. Management Sci. 59(2):341–357.Link, Google Scholar
- (2016) Inventory pooling under heavy-tailed demands. Management Sci. 62(6):1800–1813.Link, Google Scholar
- (1989) Regular Variation (Cambridge University Press, Cambridge, UK). Google Scholar
- (2019) Quantifying distributional model risk via optimal transport. Math. Oper. Res. 44(2):565–600.Link, Google Scholar
- (2020) On distributionally robust extreme value analysis. Extremes 23:317–347.Crossref, Google Scholar
- (2016) Relative entropy relaxations for signomial optimization. SIAM J. Optim. 26(2):1147–1173.Crossref, Google Scholar
- (2011) Tight bounds for some risk measures, with applications to robust portfolio selection. Oper. Res. 59(4):847–865.Link, Google Scholar
- (2003) Measuring prices and price competition online: Amazon.com and BarnesandNoble.com. Quant. Marketing Econom. 1:203–222.Crossref, Google Scholar
- (2009) Power law distributions in empirical data. SIAM Rev. 51(4):661–703.Crossref, Google Scholar
- (1986) Stability in stochastic programming with recourse: Contaminated distributions. Math. Programming Stud. 27:133–144.Crossref, Google Scholar
- (1970) On Regular Variation and Its Application to the Weak Convergence of Sample Extremes (Mathematisch Centrum, Amsterdam). Google Scholar
- (1997) Modelling Extreme Events for Insurance and Finance (Springer-Verlag, Berlin).Crossref, Google Scholar
- (2018) Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations. Math. Programming 171(1-2):115–166.Google Scholar
- (2013) A bootstrap method to test for the existence of finite moments. J. Nonparametric Statist. 25(2):315–322.Crossref, Google Scholar
- (2008) Demand distribution dynamics in creative industries: The market for books in Italy. Inform. Econom. Policy 20:257–268.Crossref, Google Scholar
- (1998) New bounds and heuristics for (Q,r) policies. Management Sci. 44(2):219–233.Link, Google Scholar
- (1993) The distribution free newsboy problem: review and extensions. J. Oper. Res. Soc. 44(8):825–834.Crossref, Google Scholar
- (2017) Distributionally robust stochastic optimization with Wasserstein distance. Working paper, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta.Google Scholar
- (1991) Option prices and the underlying asset’s return distribution. J. Finance 46(3):1045–1069.Crossref, Google Scholar
- (2011) Second order regular variation and conditional tail expectations of multiple risks. Insurance Math. Econom. 49:537–546.Crossref, Google Scholar
- (1986) Upper bounds on stop-loss premiums in case of known moments up to the fourth order. Insurance Math. Econom. 5:315–334.Crossref, Google Scholar
- (1930) Sur un mode de croissance régulière des fonctions. Mathematica (Cluj) 4:38–53.Google Scholar
- (2017) Tail analysis without parametric models: A worst-case perspective. Oper. Res. 65(6):1969–1711.Google Scholar
- (1916) Darstellung und Begrundung Einiger Neueren Ergebnisse der Funktionentheorie (Springer-Verlag, Berlin).Crossref, Google Scholar
- (2002) Bounds on measures satisfying moment conditions. Ann. Appl. Probab. 12(3):1114–1137.Crossref, Google Scholar
- (2002) Comparison Methods for Stochastic Models and Risks (Wiley, Chichester, UK).Google Scholar
- (2018) Asymmetry and ambiguity in newsvendor models. Management Sci. 64(7):3146–3167.Link, Google Scholar
- (2000) Squared functional systems and optimization problems. Frenk H , Roos K , Terlaky T , Zhang S , eds. High Performance Optimization (Kluwer, Dordrecht, Germany), 405–440.Crossref, Google Scholar
- (2008) Extreme Values, Regular Variation and Point Processes (Springer, Berlin).Google Scholar
- Scarf H (1958) Studies in the mathematical theory of inventory and production. Arrow K, Karlin S, Scarf H, eds. A Min-Max Solution of an Inventory Problem (Stanford University Press, Stanford, CA), 201–209.Google Scholar
- (2007) Stochastic Orders (Springer Series in Statistics, New York).Crossref, Google Scholar
- (2004) On a class of minimax stochastic programs. SIAM J. Optim. 14(4):1237–1249.Crossref, Google Scholar
- (2002) Minimax analysis of stochastic problems. Optim. Methods Software 17:523–542.Crossref, Google Scholar
- (1999) SDPT3: A MatLab software package for 750 semidefinite programming. Optim. Methods Software 11:545–581.Crossref, Google Scholar
- (2003) Solving semidefinite-quadratic-linear programs using SDPT3. Math. Programming 95:189–217.Crossref, Google Scholar
- (2015) Likelihood robust optimization for data-driven problems. Comput. Management Sci. 13:241–261.Crossref, Google Scholar
- (2009) Third-order extensions of Lo’s semiparametric bound for European call options. Eur. J. Oper. Res. 198(2):557–570.Crossref, Google Scholar

