Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets (Q5162844)

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scientific article; zbMATH DE number 7421259
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Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
scientific article; zbMATH DE number 7421259

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    Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets (English)
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    5 November 2021
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    expected utility maximization
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    stochastic dominance
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    tail risk management
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    risk sharing
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    quantile formulation
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