University of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management
Abstract
As a sequel to the original paper by the same authors, Isogai, Ohashi and Sumita(2010), this paper examines the effect of the CDO scheme applied to the classicalNBP. The distribution function of the profit with CDO is derived explicitly as afunction of the order quantity Q . Sufficient conditions are established under whichthe optimal solution for the Value at Risk (VaR) problem with CDO is superior orinferior to that without CDO. Furthermore, the VaR problem of NBP without CDO isanalyzed in detail for the case of the exponentially distributed demand, deriving theoptimal solution **NBP Q and **NBP η explicitly. Assuming that the stochastic demand Dis exponentially distributed, extensive numerical experiments reveal that the overalleffect of CDO is present when the underlying risk for the opportunity loss is ratherlarge
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