List of notations Preface to the second edition Preface to the first edition 1. Stochastic programming models 2. Two-stage problems 3. Multistage problems 4. Optimization models with probabilistic constraints 5. Statistical inference 6. Risk averse optimization 7. Background material 8. Bibliographical remarks Bibliography Index.

methods

Admissibility and Measurable Utility Functions

Lectures on Stochastic Programming: Modeling and Theory

Rules for Ordering Uncertain Prospects

https://www.jstor.org/stable/pdfplus/1807225.pdf

Mean-Risk Analysis with Risk Associated with Below-Target Returns

Publisher Summary The choice of an individual decision maker among alternative risky ventures may be regarded as a two-step procedure. The decision maker chooses an efficient set among all available portfolios, independently of his tastes or preferences. Then, the decision maker applies individual preferences to this set to choose the desired portfolio. The subject of this chapter is the analysis of the first step. It deals with optimal selection rules that minimize the efficient set by discarding any portfolio that is inefficient in the sense that it is inferior to a member of the efficient set, from point of view of each and every individual, when all individuals' utility functions are assumed to be of a given general class of admissible functions. The analysis presented in the chapter is carried out in terms of a single dimension such as money, both for the utility functions and for the probability distributions. However, the results may easily be extended, with minor changes in the theorems and the proofs, to the multivariate case. The chapter explains a necessary and sufficient condition for efficiency, when no further restrictions are imposed on the utility functions. It presents proofs of the optimal efficiency criterion in the presence of general risk aversion, that is, for concave utility functions.

The Efficiency Analysis of Choices Involving Risk

Presents an efficiency analysis of choices involving risk in portfolio selection. Description of a necessary and sufficient condition of efficiency; Computations for the optimal efficiency criterion in the presence of general risk aversion; Analysis of the conditions under which the mean-variance criterion is a valid efficiency criterion. (Из Ebsco)

Admissibility and Measurable Utility Functions

Citations

Lectures on Stochastic Programming: Modeling and Theory

Rules for Ordering Uncertain Prospects

Mean-Risk Analysis with Risk Associated with Below-Target Returns

The Efficiency Analysis of Choices Involving Risk

Efficiency analysis of choices involving risk

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