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

DOI: 10.4236/am.2012.312A278, PP. 2022-2025

Keywords: First Passage-Time, Mean-Variance Portfolios, Semi-Infinite Programming

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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.

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