A parametric characterization of mean-variance efficient solutions for general feasible action sets

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-1360(199803)7:2<109::AID-MCDA178>3.0.CO;2-S" /><109::AID-MCDA178>3.0.CO;2-S 10.1002/(SICI)1099-1360(199803)7:2<109::AID-MCDA178>3.0.CO;2-SzbMATH Open0907.90274OpenAlexW2043759395MaRDI QIDQ4209345

D. J. White

Publication date: 27 September 1998

Full work available at URL: https://doi.org/10.1002/(sici)1099-1360(199803)7:2<109::aid-mcda178>3.0.co;2-s

zbMATH Keywords

parametric programmingefficient solutionsmean-varianceepsilon-efficient solutionsmean-variance efficient solutionparametric efficient solution problem

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Markov and semi-Markov decision processes (90C40)

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