Random Objective Functions

Willem K. Klein Haneveld, Maarten H. van der Vlerk,Ward Romeijnders

Stochastic ProgrammingGraduate Texts in Operations Research（2019）

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摘要

In this chapter we discuss some classical approaches for dealing with randomness in the objective function: expected utility maximization (von Neumann and Morgenstern) and the mean-variance model (Markowitz).

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