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.