Newsvendor decision with budget constraint and loss constraint under CVaR criterion

In order to find how the risk attitude and realistic constraint influence the decision behavior, a price-order quantity decision model with stochastic price-dependent demand, budget constraint and loss constraint under the conditional value-at-risk(CVaR) criterion is founded. A method of solution to the model and the effectual threshold of the constraints is given. The research shows that the CVaR is more sensitive to the loss constraint than to the budget constraint, and high-sensitive domains of different constraints are located at different areas. The higher the degree of risk aversion is, the lower the constraint value elasticity coefficient of CVaR is. Higher budget constraint value leads to lower marginal contribution ratio, which is more significant with the degree of risk aversion increasing.