Optimal strategy of the capital-constrained retailer based on CVar

The ordering level of a risk-averse retailer with budget constraints is considered in the paper. The retailer faces the random demand and borrows funds from a bank. Different from the existing research, under the conditional value-at-risk (CvaR) criterion in the framework of newsvendors, the optimal ordering level is obtained. It´s found that the optimal ordering level of the risk-averse retailer with budget constraints decrease as the degree of risk aversion increases. The optimal ordering level of risk-averse retailer is lower than the risk neutral. The cause is also analyzed in the paper and then the sensibility analysis of the optimal ordering level is obtained with the parameter. Finally the numerical example is illustrated to prove the theoretical results. It is useful for the decision-makers in reality.