Abstract For a multi-loss function, at a given confidence level, the concepts of the loss value not exceeding a given minimum value at risk (VaR) and the corresponding cumulative expected loss value (i.e., the CVaR loss value) with the corresponding weight value level are introduced first. Then, a multi-level programming model of the multi-loss CVaR model is obtained. The goal of the model is to get an optimal strategy of the minimum CVaR value each level. This model can be solved more easily through another multi-level programming model to obtain the optimal solution. Finally, a multi-product pricing and ordering of a three-stage supply chain model (a tri-level linear programming model) is presented.
Received: 02 September 2013
Published: 06 June 2018
JIANG Min, MENG Zhi-qing. A multi-level programming of multi-loss conditional value-at-risk model. Applied Mathematics A Journal of Chinese Universities, 2015, 30(1): 91-100.
