Goal achieving probabilities of constrained mean-variance strategies

Li and Zhou (2006) established that an investor, following an unconstrained mean-variance strategy, will achieve its discounted targeted wealth with a probability greater than 80%. Surprisingly, we will show that under short-selling restrictions (i.e without the possibility of borrowing stocks) this lower bound probability still holds.

MoreLess

Year of publication:	2011
Authors:	Scott, Alexandre ; Watier, François
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 8, p. 1021-1026
Publisher:	Elsevier
Keywords:	Optimal strategies Mean-variance problem First passage-time probabilities

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143262