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Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 卷号: 13, 期号: 3, 页码: SC87-SC98
作者:  Wang, Xiangyu;  Xia, Jianming;  Xu, Zuo Quan;  Yang, Zhou
收藏  |  浏览/下载：44/0  |  提交时间：2023/02/07
SSD-minimal  stochastic dominance  Skorokhod lemma  complete market  risk minimizing  
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 卷号: 12, 期号: 3, 页码: 1054-1111
作者:  Wang, Xiangyu;  Xia, Jianming
收藏  |  浏览/下载：127/0  |  提交时间：2022/04/02
expected utility maximization  stochastic dominance  tail risk management  risk sharing  quantile formulation  
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting 期刊论文
MATHEMATICAL FINANCE, 2019, 卷号: 29, 期号: 3, 页码: 898-927
作者:  Jin, Hanqing;  Xia, Jianming;  Zhou, Xun Yu
收藏  |  浏览/下载：192/0  |  提交时间：2020/01/10
Arrow-Debreu equilibrium  comonotone Pareto optimum  price equilibrium with transfers  probability weighting  rank-dependent utility  state-price density  G11  
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2009, 卷号: 45, 期号: 3, 页码: 459-465
作者:  Song, Yongsheng;  Yan, Jia-An
收藏  |  浏览/下载：152/0  |  提交时间：2018/07/30
Choquet integral  (Concave) distortion  Risk measure  Stochastic orders  Coherent  
Monotonicity and convexity of some functions associated with denumerable Markov chains and their applications to queuing systems 期刊论文
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2006, 卷号: 20, 期号: 1, 页码: 67-86
作者:  Yu, HB;  He, QM;  Zhang, HQ
收藏  |  浏览/下载：188/0  |  提交时间：2018/07/30