Standard portfolio analysis presumes one can blend different securities continuously. When one must choose all of one portfolio or all of another, we are in stochastic digital programming: either-or, zero-or-one choice. The algorithm for doing this optimally is shown to be simpler than in real...

If I am "coherent," in the sense that I can always replace any subset of outcomes by their certainty equivalent (occuring with the sum of their probabilities), then I must act according to the dogma of maximizing an Exp {U}, ruling out Machina (1982), Allais (1952), and Ysidro (1950)...

In making all-or-none choices between alternative securities, Samuelson (1997) suggested that investors of different risk-aversion should calculate from past samples of those securities their relevant Harmonic Means, or Geometric means, or other associative means representative of their...