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Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint
Department of Applied Mathematics, University of Western Ontario, London, Canada
Department of Mathematics, Université du Québec à Montréal, Montreal, Canada
- 1 Department of Applied Mathematics, University of Western Ontario, London, Canada
- 2 Department of Mathematics, Université du Québec à Montréal, Montreal, Canada
Applied Mathematics·Volume 03 (2012)·Pages 2022–2025·Published 28 December 2012·DOI10.4236/am.2012.312A278
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Abstract
We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a de sired 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.
KeywordsFirst Passage-TimeMean-Variance PortfoliosSemi-Infinite Programming
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