We consider the problem of determining the cumulative distribution function and/or moments of the optimal solution value of a nonlinear program dependent upon a single random variable. This problem is difficult computationally because one must in effect determine the optimal solution to an...

The sufficiency conditions for constrained optimization problems are derived through an alternate approach and result in a simpler form than one latest work [Schechter, R. S., G. S. G. Beveridge. 1966. Sufficiency conditions in constrained variations. Indus. Eng. Chemistry Fundamentals 5...

In this paper a probabilistic branch and bound procedure is developed for the ambulance location problem. Information on system characteristics under various ambulance assignments and dispatch rules was provided by a digital simulation. The output of the simulation was also used to construct the...

This paper examines some of the interrelationships between the formal organization of a regulatory agency and its task environment. Central to the analysis is the development of a simulation model of a regulatory agency. The model depicts the agency as an hierarchical assemblage of decision...

In evaluating R&D opportunities executives make tradeoffs among three classes of attributes: commitment of resources, expected payoff, and risk. The focus of this study of Canadian top executives and R&D managers is the investigation of these tradeoffs and how they differ among executives and...

We consider the problem of portfolio selection for a risk averse investor wishing to allocate his resources among several investment opportunities in order to maximize the expected utility of final wealth. The calculation of the optimal investment proportions generally requires the solution of a...

This paper presents a stochastic linear programming formulation of a firm's short term financial planning problem. This framework allows a more realistic representation of the uncertainties fundamental to this problem than previous models. In addition, using Wets's algorithm for linear simple...

This paper concerns the problem of optimal dynamic choice in discrete time for an investor. In each period the investor is faced with one or more risky investments. The maximization of the expected logarithm of the period by period wealth, referred to as the Kelly criterion, is a very desirable...

We investigate the effect on the demand for a risky asset when there are changes in either initial wealth or one of the asset return distributions in two asset expected utility portfolio problems. In the choice between a risky and a safe asset necessary and sufficient conditions are presented...

This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the theoretical and empirical analyses. The results agree well with the available theory and imply...