University of Georgia
Mathematics Department Colloquium
Markus Hirschberger
University of Eichstaett-Ingolstadt
February 12, 2004
Efficiency Concepts for Stochastic Linear Multiobjective Programs
Abstract: The notions of "efficiency" and "proper
efficiency" for deterministic multiobjective programs are
introduced. These are extended to stochastic programs by introducing
the "Expected value-variance efficiency" and "efficiency in
probability" concepts, which are illustrated on the portfolio
selection problem. Assuming that all objective vectors are normally
distributed, we discuss the three most important questions for the
stochastic linear multiobjective program: We show the relations
between the various efficiency concepts, give a proof scheme for the
arcwise connectedness of the efficient sets, and present a
computation procedure of polynomial complexity.