@article{b0948391e5fb4ade9f758d93761c0ee1,
title = "Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints",
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",
author = "Xiangyu Wang and Jianming Xia and Xu, {Zuo Quan} and Zhou Yang",
note = "Funding Information: \ast Received by the editors April 4, 2022; accepted for publication (in revised form) August 1, 2022; published electronically September 8, 2022. https://doi.org/10.1137/22M1488557 Funding: Supported by the National Key R\&D Program of China (2018YFA0703900), NSFC (12071146, 11971409, and 12171169), Guangdong Basic and Applied Basic Research Foundation (2019A1515011338), The Hong Kong RGC (GRF 15202421), The PolyU-SDU Joint Research Center on Financial Mathematics, The CAS AMSS-PolyU Joint Laboratory of Applied Mathematics, and The Hong Kong Polytechnic University. \dagger School of Mathematical Sciences, The University of Chinese Academy of Sciences, Beijing 100049, China (
[email protected]). \ddagger RCSDS, NCMIS, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China (
[email protected]). \S Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China (
[email protected]). \P School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China (
[email protected]). Publisher Copyright: {\textcopyright} 2022 Society for Industrial and Applied Mathematics.",
year = "2022",
doi = "10.1137/22M1488557",
language = "English",
volume = "13",
pages = "SC87--SC98",
journal = "SIAM Journal on Financial Mathematics",
issn = "1945-497X",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "3",
}