Goal achieving probabilities of constrained mean-variance strategies

DOI10.1016/J.SPL.2011.02.023zbMATH Open1217.91174OpenAlexW2071576288MaRDI QIDQ552995FDOQ552995

Alexandre Scott, François Watier

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.023

zbMATH Keywords

optimal strategiesfirst passage-time probabilitiesmean-variance problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Fast and accurate calculations for first-passage times in Wiener diffusion models
• A computational approach to first-passage-time problems for Gauss-Markov processes
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• A first-passage kinetic Monte Carlo algorithm for complex diffusion-reaction systems
• Continuous-time mean-variance efficiency: the 80\% rule
• First-passage time for stability analysis of the Kaldor model
• First passage time analysis of animal movement and insights into the functional response
• Markowitz strategies revised

Cited In (3)

• Probability to achieve TSC goal
• Goal achieving probabilities of cone-constrained mean-variance portfolios
• MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS

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