Stochastic programming, cooperation, and risk exchange
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- Discussion papers (FOR) 
Stochastic programming offers handy instruments to analyze exchange of goods and risks. Absent efficient markets for some of those items, such programming may imitate or synthesize market-like transfers among concerned parties. Specifically, using shadow prices (Lagrange multipliers) on aggregate endowments, one may identify side-payments that yield core solutions to cooperative production games.
UtgiverNorwegian School of Economics and Business Administration. Department of Finance and Management Science