search query: @author Ballestero, E. / total: 6
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| Author: | Ballestero, E. |
| Title: | Stochastic goal programming: a mean-variance approach |
| Journal: | European Journal of Operational Research
2001 : JUN, VOL. 131:3, p. 476-481 |
| Index terms: | GOAL PROGRAMMING STOCHASTIC PROCESSES UTILITY THEORY |
| Language: | eng |
| Abstract: | The authors propose 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. |
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