The newsvendor problem is a classic problem of decision making under risk that is taught in traditional Operations and Supply Chain Management classes as a single-period inventory problem. We discuss the following three pedagogical points of interest to any instructor tasked with teaching this topic: a) why the newsvendor model is relevant in this day and age; b) how to make better sense of the newsvendor problem for students; and c) how to easily implement and administer an active learning exercise in either a traditional classroom, or an online setting. This active learning exercise is a quick, effective, and meaningful way of demonstrating a variety of concepts related to the newsvendor problem that include: a) the rational economic method of calculating optimal order quantity, b) the inherent risk in forecasting and ordering decisions as they relate to surpluses and shortages; and c) the cognitive limitations in decision making that often result in irrational but predictable decision-making behavior as demonstrated by empirical research on newsvendor behavior. This exercise can help instructors and students transition into broader discussions on human behavior, cognitive limitations, and perceptions of risk. Overall, it should provide the student with an improved understanding of the operational and behavioral issues associated with decision making under risk.