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Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint
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作者 Alexandre Scott Francois Watier 《Applied Mathematics》 2012年第12期2022-2025,共4页
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
关键词 First passage-time MEAN-VARIANCE PORTFOLIOS SEMI-INFINITE Programming
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