A decision support system for meanvariance analysis in multi-period inventory control
We develop a methodology to track meanvariance solutions in inventory control. We call this methodology Variance Retentive Stochastic Dynamic Programming. We develop a heuristic (RiskTrackr) to construct risk-reward efficient frontiers. We use RiskTrackr as a decision support tool.
meanvariance analysis stochastic dynamic programming risk-reward heuristic efficient frontier analysis inventory management