Reconciling Risk-Aversion Paradoxes in the Distribution-Free Newsvendor Problem: Scarf's Rule Meets Dual Utility

Jonathan Yu-Meng Li, Tiantian Mao, Reza Valimoradi

How should a risk-averse newsvendor order optimally under distributional ambiguity? Attempts to extend Scarf's celebrated distribution-free ordering rule using risk measures have l…