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Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets.

Xiangyu WangJianming Xia
Published in: SIAM J. Financial Math. (2021)
Keyphrases
  • stochastic dominance
  • utility maximization
  • fuzzy random variables
  • random variables
  • utility function
  • constrained optimization
  • sample path
  • least squares
  • linear constraints