Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint

HTML  Download Download as PDF (Size: 166KB)  PP. 2022-2025  
DOI: 10.4236/am.2012.312A278    5,550 Downloads   7,826 Views  Citations

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.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.