Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles
We study the fleet portfolio management problem faced by a firm deciding which alternative fuel vehicles (AFVs) to choose for its fleet to minimise the weighted average of cost and risk, in a stochastic multi-period setting. We consider different types of technology and vehicles with heterogeneous c...
| Main Authors: | , , |
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| Format: | Journal Article |
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Pergamon Press
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/12798 |
| _version_ | 1848748176812539904 |
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| author | Ansaripoor, Amir Hossein Oliveira, F. Liret, A. |
| author_facet | Ansaripoor, Amir Hossein Oliveira, F. Liret, A. |
| author_sort | Ansaripoor, Amir Hossein |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | We study the fleet portfolio management problem faced by a firm deciding which alternative fuel vehicles (AFVs) to choose for its fleet to minimise the weighted average of cost and risk, in a stochastic multi-period setting. We consider different types of technology and vehicles with heterogeneous capabilities. We propose a new time consistent recursive risk measure, the Recursive Expected Conditional Value at Risk (RECVaR), which we prove to be coherent. We then solve the problem for a large UK based company, reporting how the optimal policies are affected by risk aversion and by the clustering for each type of vehicle. |
| first_indexed | 2025-11-14T07:00:53Z |
| format | Journal Article |
| id | curtin-20.500.11937-12798 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:00:53Z |
| publishDate | 2016 |
| publisher | Pergamon Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-127982017-09-13T15:00:24Z Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles Ansaripoor, Amir Hossein Oliveira, F. Liret, A. We study the fleet portfolio management problem faced by a firm deciding which alternative fuel vehicles (AFVs) to choose for its fleet to minimise the weighted average of cost and risk, in a stochastic multi-period setting. We consider different types of technology and vehicles with heterogeneous capabilities. We propose a new time consistent recursive risk measure, the Recursive Expected Conditional Value at Risk (RECVaR), which we prove to be coherent. We then solve the problem for a large UK based company, reporting how the optimal policies are affected by risk aversion and by the clustering for each type of vehicle. 2016 Journal Article http://hdl.handle.net/20.500.11937/12798 10.1016/j.trc.2015.12.010 Pergamon Press restricted |
| spellingShingle | Ansaripoor, Amir Hossein Oliveira, F. Liret, A. Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title | Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title_full | Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title_fullStr | Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title_full_unstemmed | Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title_short | Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| title_sort | recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles |
| url | http://hdl.handle.net/20.500.11937/12798 |