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 finan...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.展开更多
文摘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.
