%0 Journal Article %T Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint %A Alexandre Scott %A Francois Watier %J Applied Mathematics %P 2022-2025 %@ 2152-7393 %D 2012 %I Scientific Research Publishing %R 10.4236/am.2012.312A278 %X

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.

%K First Passage-Time %K Mean-Variance Portfolios %K Semi-Infinite Programming %U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=25982