As has been noted by several authors, when a multivariate normal distribution with correlation matrix {ρij} has a correlation structure of the form ρij = αi αj (i ≠ j), where -1 ≤ αi ≤ + 1, its c.d.f.

For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or ...