Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time

被引：0
|
作者：
Wang, Yiyun [1 ]
Wei, Jiaqin [2 ]
Xia, Jianming [3 ]
机构：
[1] East China Normal Univ, Sch Stat, Shanghai 200062, Peoples R China
[2] East China Normal Univ, Sch Stat, Key Lab Adv Theory & Applicat Stat & Data Sci, MOE, Shanghai 200062, Peoples R China
[3] Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, NCMIS, Beijing 100190, Peoples R China
来源：
SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2024年 / 15卷 / 04期
关键词：
mean-risk portfolio selection; stochastic dominance; quantile formulation; OPTIMIZATION PROBLEMS; CONSTRAINTS; COMONOTONICITY; DUALITY; CHOICE; RISK;
D O I：
10.1137/24M1640677
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the mean-stochastic-dominance portfolio selection in a continuous-time market. We establish the sufficient and necessary conditions for the finiteness of the optimal value and the existence of an optimal solution. In the case of existence of the optimal solutions, they are explicitly characterized. In the case of nonexistence of the optimal solutions, an asymptotically optimal solution is provided. This work is complementary to the expected utility maximization problem with stochastic dominance constraints in Wang and Xia [ SIAM J. Financial Math., 12 (2021), pp. 1054--1111].
引用
收藏
页码：SC80 / SC90
页数：11
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