Firms need to deal with not only risks from stochastic demand but also risks from supply side. The supply side risk may … how these two risks affect the decisions and profits of the firm. We find that increased supply risk usually causes … increased quantity/stocking decision, however, there exists a threshold level of supply risk above which the firm reduces …

maximize return while managing risk. Risk and return are quantities that are used as input parameters for the optimal …-Conditional Value at Risk (M-CVaR) portfolio selection problem under the estimation risk in mean return for both interval and …

In this paper we study distributionally robust constraints on risk measures (such<br/>as standard deviation less the … mean, Conditional Value-at-Risk, Entropic Value-at-Risk) of decision-dependent random variables. The uncertainty sets for … counterpart can be split into two parts: one corresponding to the risk measure and the other to the uncertainty set. We also show …