Portal de Periódicos da CAPES

INCORPORATING SAFETY-FIRST CONSTRAINTS IN LINEAR PROGRAMMING PRODUCTION MODELS

1988; Volume: 13; Issue: 1 Linguagem: Inglês

10.22004/ag.econ.32152

2327-8285

Joseph A. Atwood, Myles J. Watts, Glenn A. Helmers, Larry J. Held,

Risk and Portfolio Optimization

A recent survey indicated that many producers view risk in a safety-first context. Traditional methods used to impose safety-first constraints in optimization models have often been difficult to implement. This is particularly true when endogenous decisions affect the distribution of the chance-constrained random variable. This paper presents a method whereby probabilistic constraints can be easily imposed upon finitely discrete random variables. The procedure uses a linear version of the lower partial moment stochastic inequality. The resulting solutions are somewhat conservative but are less so than the results using the previously published mean income-absolute deviation stochastic inequality.