Stochastic goal programming: A mean-variance approach (Q5935381): Difference between revisions

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Revision as of 17:40, 3 June 2024

scientific article; zbMATH DE number 1610186
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English
Stochastic goal programming: A mean-variance approach
scientific article; zbMATH DE number 1610186

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    Stochastic goal programming: A mean-variance approach (English)
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    26 June 2001
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    The author proposes a stochastic goal programming (GP) model leading to a structure of mean-variance minimisation. The solution to the stochastic problem is obtained from a linkage between the standard expected utility theory and a strictly linear, weighted GP model under uncertainty. The approach essentially consists in specifying the expected utility equation corresponding to every goal.
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    stochastic goal programming
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    mean-variance minimisation
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