๐”– Bobbio Scriptorium
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A NOTE ON INVESTMENT DECISION RULES BASED ON UTILITY FUNCTIONS

โœ Scribed by James S. Ang; Jess H. Chua; Richard S. Woodward

Book ID
111105128
Publisher
John Wiley and Sons
Year
1983
Tongue
English
Weight
186 KB
Volume
10
Category
Article
ISSN
0306-686X

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In this note it will be shown that, in a sense to be made precise, a two-stage stochastic program with recourse with right-hand sides random (i.e., a two-stage programming under uncertainty problem) has optimal decision rules which are continuous and piecewise linear. The proof relies on a basic pro