Note---Response

Ravi Jagannathan

Management Science, 1987, vol. 33, issue 10, 1229-1231

Abstract: LaValle (LaValle, I. H. 1987. Response to `Use of sample information in stochastic recourse and chance-constrained programming models:' On the `Bayesability' of CCP's. Management Sci. 33 1224--1228.) claims that the utility function U(z, F 1 , ..., F n ) I have assumed in Jagannathan (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96--108.) must be linear in F 1 , and consequently my results pertaining to chance-constrained programming are not valid. In this note, I show through a simple counterexample that LaValle's claim is based on an erroneously stated result.

Keywords: chance-constrained; programming (search for similar items in EconPapers)
Date: 1987
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