Abstract
LaValle (LaValle, I. H. 1987. Response to ‘Use of sample information in stochastic recourse and chance-constrained programming models:’ On the ‘Bayesability’ of CCP's. Management Sci. 33 1224–1228.) claims that the utility function U(z, F1, …, Fn) I have assumed in Jagannathan (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96–108.) must be linear in F1, and consequently my results pertaining to chance-constrained programming are not valid. In this note, I show through a simple counterexample that LaValle's claim is based on an erroneously stated result.
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