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

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

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摘要 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. 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.

作者 Alexandre Scott Francois Watier

机构地区 Department of Applied Mathematics Department of Mathematics

出处《Applied Mathematics》 2012年第12期2022-2025,共4页 应用数学（英文）

关键词 First Passage-Time MEAN-VARIANCE PORTFOLIOS SEMI-INFINITE Programming First Passage-Time Mean-Variance Portfolios Semi-Infinite Programming

分类号 R73 [医药卫生—肿瘤]

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Applied Mathematics

2012年第12期

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

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