Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints

DOI10.1137/22M1488557zbMath1498.91508arXiv2008.02420WikidataQ114073930 ScholiaQ114073930MaRDI QIDQ5868796

Xiangyu Wang, Zhou Yang, Zuo Quan Xu, Jian-ming Xia

Publication date: 23 September 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.02420

zbMATH Keywords

stochastic dominance; complete market; risk minimizing; Skorokhod lemma; SSD-minimal

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G70: Statistical methods; risk measures

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