论文标题
受到随机优势约束的最小分位数函数
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
论文作者
论文摘要
我们考虑了找到SSD（二阶随机优势）的一个问题，即受FSD（一阶随机优势）和SSD约束的混合物的最小分位数函数。 SSD最低解决方案已明确处理，并且与Skorokhod问题有密切的关系。然后将此结果应用于明确解决金融经济学中的风险最小问题。
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) 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.
