Recursive expected conditional value at risk in the fleet renewal problem with alternative fuel vehicles.

Ansaripoor, Amir H.; Oliveira, Fernando S.; Liret, Anne

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.

Citation

ANSARIPOOR, A.H., OLIVEIRA, F.S. 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 [online], 65, pages 156-171. Available from: https://doi.org/10.1016/j.trc.2015.12.010

• Journal Article Type: Article
• Acceptance Date: Dec 20, 2015
• Online Publication Date: Feb 2, 2016
• Publication Date: Apr 30, 2016
• Deposit Date: Oct 21, 2023
• Publicly Available Date: Nov 15, 2023
• Journal: Transportation research part C: emerging technologies
• Print ISSN: 0968-090X
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 65
• Pages: 156-171
• DOI: https://doi.org/10.1016/j.trc.2015.12.010
• Keywords: Risk management; Fleet management; Fleet replacement; Stochastic programming; Conditional value at risk (CVaR)
• Public URL: https://rgu-repository.worktribe.com/output/2114740