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

AM > Vol.3 No.12, December 2012

Applied Mathematics

Volume 3, Issue 12 (December 2012)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

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

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Download as PDF (Size: 166KB) PP. 2022-2025

DOI: 10.4236/am.2012.312A278 5,559 Downloads 7,841 Views Citations

Author(s)

Alexandre Scott, Francois Watier

Affiliation(s)

Department of Applied Mathematics, University of Western Ontario, London, Canada.
Department of Mathematics, Université du Québec à Montréal, Montreal, Canada.

ABSTRACT

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.

KEYWORDS

First Passage-Time; Mean-Variance Portfolios; Semi-Infinite Programming

Share and Cite:

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.

Cited by

[1]	Extensions of the Cross-Entropy Method with Applications to Diffusion Processes and Portfolio Losses
	2015

[2]	Goal achieving probabilities of cone‐constrained mean‐variance portfolios
	Applied Stochastic Models in Business and Industry, 2014

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