Communications to the Editor—Comment on the Fractile Approach to Linear Programming under Risk

Sengupta and Portillo-Campbell have recently proposed a fractile decision criterion for risk situations as an alternative to the expected value and E-V criteria [Sengupta, J. K., J. H. Portillo-Campbell. 1970. A fractile approach to linear programming under risk. Management Sci. 16(5, January) 298–308.]. The fractile model seems to add little to the current literature on risk programming models under normality assumptions except to provide a direct solution procedure for identification of a specific solution in a Baumol efficient E-L set.

• 저널Management Science · 17(3) · 236–237
• 토픽Risk and Portfolio Optimization · Management Science and Operations Research
• DOI10.1287/mnsc.17.3.236
• 저자Peter Hazell