Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint ()
Abstract
We establish,
through solving semi-infinite programming problems, bounds on the probability
of safely reaching a desired level of wealth on a finite horizon,
when an investor starts with an optimal mean-variance financial investment
strategy under a non-negative wealth restriction.
Share and Cite:
A. Scott and F. Watier, "Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint,"
Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2022-2025. doi:
10.4236/am.2012.312A278.
Conflicts of Interest
The authors declare no conflicts of interest.
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