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

• 作者: Alexandre Scott Francois Watier
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: First Passage-Time MEAN-VARIANCE PORTFOLIOS SEMI-INFINITE Programming
• 年，卷（期）: 2012,（12）
• 页码范围: 2022-2025
• 页数: 4页
• 分类号: R73

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.