Optimal pricing and stocking decisions for newsvendor problem with value-at-risk consideration

Chun Hung Chiu, Tsan Ming Choi

Research output: Journal article publicationJournal articleAcademic researchpeer-review

42 Citations (Scopus)


Motivated by the popularity of VaR measure in financial applications, we study the classical newsvendor problem with Value-at-Risk (VaR) consideration and price-dependent demands. We first investigate the problem's structural properties and derive analytically the optimal joint stocking and pricing decisions. We then explore the difference between the optimal decisions under the VaR formulation and the classical expected profit-maximization model. Finally, we reveal an interesting analytical relationship between the inventory service level and the VaR measure. Insights are generated.
Original languageEnglish
Article number5443527
Pages (from-to)1116-1119
Number of pages4
JournalIEEE Transactions on Systems, Man, and Cybernetics Part A:Systems and Humans
Issue number5
Publication statusPublished - 1 Sept 2010


  • Joint pricing and inventory decision
  • newsvendor
  • value-at-risk (VaR)

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Software
  • Human-Computer Interaction
  • Computer Science Applications
  • Electrical and Electronic Engineering


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