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


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.

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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.

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The authors declare no conflicts of interest.


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