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http://hdl.handle.net/10397/97201
| Title: | Short communication : minimal quantile functions subject to stochastic dominance constraints | Authors: | Wang, X Xia, J Xu, ZQ Yang, Z |
Issue Date: | 2022 | Source: | SIAM journal on financial mathematics, 2022, v. 13, no. 3, p. SC87-SC98 | Abstract: | We 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. | Keywords: | Complete market Risk minimizing Skorokhod lemma SSD-minimal Stochastic dominance |
Publisher: | Society for Industrial and Applied Mathematics | Journal: | SIAM journal on financial mathematics | EISSN: | 1945-497X | DOI: | 10.1137/22M1488557 | Rights: | © 2022 Society for Industrial and Applied Mathematics The 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. |
| Appears in Collections: | Journal/Magazine Article |
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