In this problem, the optimal path is one that maximizes the expected utility, with the utility function being piecewise-linear and concave. Such a utility function can be used to approximate nonlinear ...

At first glance it seems that any (non-decreasing) utility function would point to the log-optimal portfolio, at least in the limit. This is known not to be the case. In this work we identify ...

Many real-world problems can be formulated as multiple-objective linear programming (MOLP) problems. In the search for the best compromise solution for conflicting and noncommensurate objectives, a ...

G Dutta, S Basu, J John, Development of utility function for life insurance buyers in the Indian market, The Journal of the Operational Research Society, Vol. 61, No. 4 (April 2010), pp. 585-593 ...

Huifu Xu (University of Southampton): Utility Preference Robust Optimization: Piecewise Linear Approximation and Statistical Robustness Preference robust optimization (PRO) has recently received ...