Note---Blau's Dilemma Revisited

Robert F. Nau
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Robert F. Nau: Fuqua School of Business, Duke University, Durham, North Carolina 27706

Management Science, 1987, vol. 33, issue 10, 1232-1237

Abstract: The issue of equivalence between chance-constrained programming problems (CCPP's) and Bayesian utility-maximization problems (BUMP's), and the anomalous evaluation of information in CCPP's, are re-examined in light of a recent paper by Jagannathan and the ensuing exchange between Jagannathan and LaValle. Difficulties in "explaining" value of information within the framework of chance-constrained programming are illustrated in a numerical example due to Jagannathan.

Keywords: chance-constrained programming; information evaluation; decision analysis (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:33:y:1987:i:10:p:1232-1237

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