Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints

doi:10.1137/22M1488557

	Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints
	Wang, Xiangyu 2; Xia, Jianming 3; Xu, Zuo Quan 1; Yang, Zhou 4
刊名	SIAM JOURNAL ON FINANCIAL MATHEMATICS
	2022
卷号	13 期号:3 页码:SC87-SC98
关键词	SSD-minimal stochastic dominance Skorokhod lemma complete market risk minimizing
ISSN号	1945-497X
DOI	10.1137/22M1488557
英文摘要	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.
资助项目	National Key R&D Program of China[2018YFA0703900] ; NSFC[12071146] ; NSFC[11971409] ; NSFC[12171169] ; Guangdong Basic and Applied Basic Research Foundation[2019A1515011338] ; Hong Kong RGC[GRF 15202421] ; CAS AMSS-PolyU Joint Laboratory of Applied Mathematics ; Hong Kong Polytechnic University
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	SIAM PUBLICATIONS
WOS记录号	WOS:000877159000001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/60713]
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Xiangyu
作者单位	1.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, NCMIS, Beijing 100190, Peoples R China 4.South China Normal Univ, Sch Math Sci, Guangzhou 510631, Peoples R China
推荐引用方式 GB/T 7714	Wang, Xiangyu,Xia, Jianming,Xu, Zuo Quan,et al. Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints[J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS,2022,13(3):SC87-SC98.
APA	Wang, Xiangyu,Xia, Jianming,Xu, Zuo Quan,&Yang, Zhou.(2022).Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints.SIAM JOURNAL ON FINANCIAL MATHEMATICS,13(3),SC87-SC98.
MLA	Wang, Xiangyu,et al."Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints".SIAM JOURNAL ON FINANCIAL MATHEMATICS 13.3(2022):SC87-SC98.