Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/97201
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorWang, Xen_US
dc.creatorXia, Jen_US
dc.creatorXu, ZQen_US
dc.creatorYang, Zen_US
dc.date.accessioned2023-02-17T00:58:42Z-
dc.date.available2023-02-17T00:58:42Z-
dc.identifier.urihttp://hdl.handle.net/10397/97201-
dc.language.isoenen_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.rights© 2022 Society for Industrial and Applied Mathematicsen_US
dc.rightsThe following publication Wang, X., Xia, J., Xu, Z. Q., & Yang, Z. (2022). Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints. SIAM Journal on Financial Mathematics, 13(3), SC87-SC98 is available at https://doi.org/10.1137/22M1488557.en_US
dc.subjectComplete marketen_US
dc.subjectRisk minimizingen_US
dc.subjectSkorokhod lemmaen_US
dc.subjectSSD-minimalen_US
dc.subjectStochastic dominanceen_US
dc.titleShort communication : minimal quantile functions subject to stochastic dominance constraintsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spageSC87en_US
dc.identifier.epageSC98en_US
dc.identifier.volume13en_US
dc.identifier.issue3en_US
dc.identifier.doi10.1137/22M1488557en_US
dcterms.abstractWe consider a problem of finding a second-order stochastic dominance (SSD)-minimal quantile function subject to the mixture of first-order stochastic dominance (FSD) and SSD constraints. The SSD-minimal solution is explicitly worked out and has a close relation to the Skorokhod problem. This result is then applied to explicitly solve a risk minimizing problem in financial economics.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationSIAM journal on financial mathematics, 2022, v. 13, no. 3, p. SC87-SC98en_US
dcterms.isPartOfSIAM journal on financial mathematicsen_US
dcterms.issued2022-
dc.identifier.scopus2-s2.0-85138596078-
dc.identifier.eissn1945-497Xen_US
dc.description.validate202302 bckwen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumbera1917, a2099; a3419b-
dc.identifier.SubFormID46119, 46600; 50098-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextLebesgue Center of Mathematics; ANR CAESARS; ANR MFG; National Science Foundation of China; PolyU-SDU Joint Research Center on Financial Mathematics; CAS AMSS-POLYU Joint Laboratory of Applied Mathematics; Hong Kong Polytechnic Universityen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryVoR alloweden_US
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