%0 Journal Article
%T Value-at-risk optimal policies for revenue management problems
%A Koenig, Matthias
%A Meissner, Joern
%D 2015
%J International Journal of Production Economics
%@ 09255273
%V 166
%P 11–19
%! Koenig, Meissner 2015 – Value-at-risk optimal policies for revenue
%R 10.1016/j.ijpe.2015.03.027
%X Abstract Consider a single-leg dynamic revenue management problem with fare classes controlled by capacity in a risk-averse setting. The revenue management strategy aims at limiting the down-side risk, and in particular, value-at-risk. A value-at-risk optimised policy offers an advantage when considering applications which do not allow for a large number of reiterations. They allow for specifying a confidence level regarding undesired scenarios. We introduce a computational method for determining policies which optimises the value-at-risk for a given confidence level. This is achieved by computing dynamic programming solutions for a set of target revenue values and combining the solutions in order to attain the requested multi-stage risk-averse policy. We reduce the state space used in the dynamic programming in order to provide a solution which is feasible and has less computational requirements. Numerical examples and comparison with other risk-sensitive approaches are discussed.
%K Capacity control
%K Revenue management
%K Risk
%K Value-at-risk
%~ BibTeX