随机优势约束下的最小分位数函数
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
摘要：
考虑了在一阶随机占优和二阶随机占优约束的混合约束下，寻找一个SSD（second-order stochastic dominance）最小分位数函数的问题。SSD最小的解决方案是明确的，并有密切的关系，Skorokhod问题。这个结果，然后应用到明确解决金融经济学中的风险最小化问题。
英文摘要：
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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