Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets

doi:10.1137/20M1338447

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	Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
	Wang, Xiangyu 1; Xia, Jianming2
	2021
发表期刊	SIAM JOURNAL ON FINANCIAL MATHEMATICS
ISSN	1945-497X
卷号	12 期号:3 页码:1054-1111
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.
关键词	expected utility maximization stochastic dominance tail risk management risk sharing quantile formulation
DOI	10.1137/20M1338447
收录类别	SCI
语种	英语
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
WOS类目	Business, Finance ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000734465000009
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59764
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.