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Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets

文献类型：期刊论文

作者Wang, Xiangyu1; Xia, Jianming2
刊名SIAM JOURNAL ON FINANCIAL MATHEMATICS
出版日期2021
卷号12期号:3页码:1054-1111
关键词expected utility maximization stochastic dominance tail risk management risk sharing quantile formulation
ISSN号1945-497X
DOI10.1137/20M1338447
英文摘要The problem of expected utility maximization with stochastic dominance constraints in complete markets is studied. In the quantile formulation, i.e., changing the decision variable of the problem from a random variable to its quantile function, the problem with a first-order stochastic dominance constraint is easy and can be solved explicitly. For the problem with a second-order stochastic dominance constraint, the optimal solution is characterized explicitly in terms of the solution of a dual problem, which interestingly can be regarded as a problem of two-person efficient risk sharing. Moreover, the optimal solution of the problem of efficient risk sharing is characterized fully and, in some special cases, has closed form.
资助项目National Key R&D Program of China[2018YFA0703900]
WOS研究方向Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种英语
WOS记录号WOS:000734465000009
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/59763]  
专题应用数学研究所
通讯作者Wang, Xiangyu
作者单位1.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, NCMIS, RCSDS, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Xiangyu,Xia, Jianming. Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets[J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS,2021,12(3):1054-1111.
APA Wang, Xiangyu,&Xia, Jianming.(2021).Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets.SIAM JOURNAL ON FINANCIAL MATHEMATICS,12(3),1054-1111.
MLA Wang, Xiangyu,et al."Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets".SIAM JOURNAL ON FINANCIAL MATHEMATICS 12.3(2021):1054-1111.

入库方式： OAI收割

来源：数学与系统科学研究院

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