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Nonlinear Programming Problems with Stochastic Objective Functions
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Nonlinear Programming Problems with Stochastic Objective Functions (1964)Nonlinear Programming Problems with Stoch…Inequalities for Stochastic Nonlinear Programming Problems (1964)Inequalities for Stochastic N…Inequalities for Stochastic Linear Programming Problems (1960)Inequalities for Stochastic L…Stochastic Programs with Incomplete Information (1976)Stochastic Programs with Inco…Solving Nonlinear Programming Problems with Stochastic Objective Functions (1972)Solving Nonlinear Programming…Stochastic Programming (1967)Computational Algorithms for Convex Stochastic Programs with Simple Recourse (1970)Linear Programming Under Uncertainty (2004)Budgeting in International Humanitarian Organizations (2021)Increasing risk II: Its economic consequences (1971)On the theory of the competitive firm under price uncertainty (1971)A Min-Max Solution of an Inventory Problem (2005)Liquidity Preference as Behavior Towards Risk (1958)Utility Theory for Decision Making (1971)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)MONTE CARLO METHODS AND THE PERT PROBLEM (1963)Stochastic Programming: Solution Techniques and Approximation Schemes (1983)Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)A Note on Certainty Equivalence in Dynamic Planning (1992)
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References

  • 1960Inequalities for Stochastic Linear Programming Problems261 cited
  • 1964Inequalities for Stochastic Nonlinear Programming Problems67 cited

Cited by

  • 1976Stochastic Programs with Incomplete Information26 cited
  • 1972Solving Nonlinear Programming Problems with Stochastic Objective Functions25 cited

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