Duality and equilibrium prices in economics of uncertainty
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Publication:1366319
DOI10.1007/BF01199463zbMath0886.90057MaRDI QIDQ1366319
Aharon Ben-Tal, Adi Ben-Israel
Publication date: 10 May 1998
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
inventory controlmaximum buying priceminimum selling priceoptimal insurance coveragerecourse certainty equivalentsstochastic optimization with recourse
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Cites Work
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- Portfolio theory for the recourse certainty equivalent maximizing investor
- Certainty equivalents and information measures: Duality and extremal principles
- A recourse certainty equivalent for decisions under uncertainty
- Linear Programming under Uncertainty
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- The Entropic Penalty Approach to Stochastic Programming
- Implications of constant risk aversion
- The Dual Theory of Choice under Risk
- Convex Analysis
- On Information and Sufficiency
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