Note—Response

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, …, F_n) 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.