Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles
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Authors
Ansaripoor, Amir Hossein
Oliveira, F.
Liret, A.
Date
2016Type
Journal Article
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Ansaripoor, A. and Oliveira, F. and Liret, A. 2016. Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles. Transportation Research Part C: Emerging Technologies. 65: pp. 156-171.
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Transportation Research Part C: Emerging Technologies
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School of Information Systems
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Abstract
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.
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