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Minimal Quantile Functions Subject to Stochastic Dominance Constraints

Published 6 Aug 2020 in math.PR, q-fin.MF, and q-fin.RM | (2008.02420v2)

Abstract: 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.

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