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Minimal Quantile Functions Subject to Stochastic Dominance Constraints

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 نشر من قبل Zuo Quan Xu Dr.
 تاريخ النشر 2020
  مجال البحث مالية
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We consider a problem of finding an SSD-minimal quantile function subject to the mixture of multiple first-order stochastic dominance (FSD) and second-order stochastic dominance (SSD) constraints. The solution is explicitly worked out and has a closed relation to the Skorokhod problem. We then apply this result to solve an expenditure minimization problem with the mixture of an FSD constraint and an SSD constraint in financial economics.



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