Multiple product newsvendor problem based on different risk measurements

Different risk constraint represents the different decision-making process of decision-makers. This paper use the traditional Mean-Variance, Value at Risk and Conditional Value at Risk which are from financial engineering to establish the optimum order risk decision model under the assumption of normal distribution. In order to illustrate the characteristics of different risk measurement constraint, the solutions among those three models is compared by numerical examples and their decision-making behaviors are summarized accordingly. In addition, Monte Carlo technique is used to get the sample simulation. According to the result of the three models, this paper compares these risk measurement and analyzes the relative advantages of Conditional Value at Risk to Mean-Variance and Value at Risk.