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Matthias Koenig, Joern Meissner
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| Abstract |
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Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue
management problem. Instead on focussing 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. |
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| Keywords |
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Capacity Control, Revenue Management, Multi-Period, Risk, Target Level Criterion
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| Status |
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Working Paper |
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| Download |
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www.meiss.com/download/RM-Koenig-Meissner-03.pdf
(370 kb) |
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| Reference |
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BibTeX,
Plain Text |
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