Periodic Review Multiperiod Inventory Control Under a Mean–Variance Optimization Objective

Tsan‐Ming Choi · Chun‐Hung Chiu · Peilin Fu

37 citations0/0 files storedIEEE Transactions on Systems Man and Cybernetics - Part A Systems and Humans

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Supply Chain and Inventory Management Risk and Portfolio Optimization Optimization and Mathematical Programming

Abstract

We study in this correspondence paper a solution scheme which solves a periodic review multiperiod inventory problem under a mean-variance (MV) framework. We first investigate a primal inventory problem with an MV objective function. Owing to the nonseparable nature of variance, we construct an auxiliary problem which is separable. By solving the auxiliary problem, we identify the conditions under which the solutions of the primal and auxiliary problems converge. Hence, we propose the algorithm and show that a base-stock policy is optimal.

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References

1959Portfolio Selection: Efficient Diversification of Investments 2000Foundations of Inventory Management 1951Optimal Inventory Policy 1959Studies in Mathematical Theory of Inventory and Production 1980The Newsboy Problem under Alternative Optimization Objectives 1997Optimality of ( s , S ) Policies in Inventory Models with Markovian Demand 1999Manufacturer's pricing strategy and return policy for a single-period commodity 2002Risk sensitivity in distribution channel partnerships: implications for manufacturer return policies

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