A. Scott and F. Watier, “Goal Achieving Probabilities of Constrained Mean-Variance Strategies,” Statistics & Probability Letters, Vol. 81, No. 8, 2011, pp. 1021-1026. doi: 10.1016/j.spl.2011.02.023

has been cited by the following article:

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

  AUTHORS: Alexandre Scott, Francois Watier

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

  JOURNAL NAME: Applied Mathematics, Vol.3 No.12A, December 31, 2012

  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.