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Donglei Du(dduunb.ca) Abstract: Scarf's minmax order formula for the distributionfree riskneutral newsvendor problem is a classical result in the field of inventory management. The minmax order formula provides, in closedform, the order quantity that maximizes the worstcase expected profit associated with the demand of a single product when only the mean and variance of the product's demand distribution, rather than the full distribution itself, is assumed to be known. It has been a longstanding question whether a similar closedform order formula exists for the distributionfree riskreward newsvendor problem; that is, for the order quantity that maximizes the worstcase riskreward associated with the demand of a single product when only the mean and variance of the product's demand distribution is assumed to be known. The main contribution of this work is to extend Scarf's closedform order formula to one of the most important riskreward criteria, namely when the reward is defined by the expected profit, and the risk by the profit's standard deviation. Furthermore, we provide managerial insights associated with this result. Keywords: Distributionfree, newsvendor, riskaverse, meanstandard deviation, closedform, minmax rule Category 1: Applications  OR and Management Sciences (Supply Chain Management ) Category 2: Robust Optimization Citation: Working Paper Series #2012001, University of New Brunswick, Canada Download: [Postscript][PDF] Entry Submitted: 03/31/2012 Modify/Update this entry  
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