Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
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Publication:5162844
DOI10.1137/20M1338447zbMATH Open1476.91175MaRDI QIDQ5162844FDOQ5162844
Authors: Xiangyu Wang, Jianming Xia 
Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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stochastic dominancerisk sharingexpected utility maximizationquantile formulationtail risk management
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Cited In (9)
- G-expected utility maximization with ambiguous equicorrelation
- Inverse stochastic dominance constraints and rank dependent expected utility theory
- Under stochastic dominance Choquet-expected utility and anticipated utility are identical
- Utility maximization, risk aversion, and stochastic dominance
- Short communication: minimal quantile functions subject to stochastic dominance constraints
- Behavioral mean-risk portfolio selection in continuous time via quantile
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Optimal investment with risk controlled by weighted entropic risk measures
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
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