Stochastic goal programming: A mean-variance approach

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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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scientific article; zbMATH DE number 4066624 (Why is no real title available?)
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