TY - UNPB

T1 - Risk Minimizing Strategies for Revenue Management Problems with Target Values

AU - Koenig, M

AU - Meissner, J

PY - 2009

Y1 - 2009

N2 - Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue management problem. Instead on focusing on maximizing the expected revenue, the decision maker has the main objective of minimizing the risk of failing to achieve a given target revenue. Interpreting the revenue management problem in the framework of finite Markov decision processes, we obtain a dynamic programming solution which generates a policy minimizing risk of not attaining a specified target revenue. We compare this solution with recently proposed risk-sensitive policies in a numerical study.

AB - Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue management problem. Instead on focusing on maximizing the expected revenue, the decision maker has the main objective of minimizing the risk of failing to achieve a given target revenue. Interpreting the revenue management problem in the framework of finite Markov decision processes, we obtain a dynamic programming solution which generates a policy minimizing risk of not attaining a specified target revenue. We compare this solution with recently proposed risk-sensitive policies in a numerical study.

KW - Capacity Control

KW - Revenue Management

KW - Multi-Period

KW - Risk

KW - Target Level Criterion

M3 - Working paper

T3 - Management Science Working Paper Series

BT - Risk Minimizing Strategies for Revenue Management Problems with Target Values

PB - The Department of Management Science

CY - Lancaster University

ER -