Stochastic Programming Models for Decreasing Risk Aversion

DOI10.2307/2581231MaRDI QIDQ3911617zbMATH OpenOpenAlexFDO

Authors Charles M. Harvey

Publication date 1981

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2581231

zbMATH Keywords

decreasing risk aversionlinear fractional utility functionsrisk neutralitysimple recourse

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90) Utility theory (91B16)

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