Publications

This paper extends the formula that derives the optimal order quantity for the risk-neutral newsvendor under stockout. Its objective is to maximize the mean-variance risk-averse profit utility function under the general demand probability distribution. The obtained formula is applied for the cases of the Uniform, Normal and Exponential distributions. The obtained results confirmed earlier findings that the optimal order quantity for the risk-averse newsvendor problem using the mean-variance utility can either be less than or greater than the optimal quantity of the risk-neutral case.