François Watier
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Cahiers du GERAD
Dec 2013
Chantal Labbé and François Watier
In this paper, we establish closed-form formulas for key probabilistic properties of the cone-constrained optimal mean-variance strategy, in a continuous mar...
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Dec 2013
René Ferland and François Watier
In this work, we study the goal-achieving probabilities of a multiperiod mean-variance financial strategy under a switch-when-safe stopping time rule. Th...
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Jan 2017
Chahira-Imène Allab and François Watier
International Journal of Statistics and Probability, 6(1), 59–70, 2017
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Sep 2014
Chantal Labbé and François Watier
Applied Stochastic Models in Business and Industry, 30(5), 544–572, 2014
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Jan 2013
Switch-when-safe multiperiod nean-variance strategies
René Ferland and François Watier
International Journal of Statistics and Probability, 2(2), 59–66, 2013
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Jan 2012
Bounds for goal achieving probabilities of mean-variance strategies with a no bankruptcy constraint
Alexandre Scott and François Watier
Applied Mathematics, 3(12A), 2022–2025, 2012
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Jan 2011
Goal achieving probabilities of constrained mean-variance strategies
Alexandre Scott and François Watier
Statistics and Probability Letters, 81(8), 1021–1026, 2011
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Jan 2010
Mean-variance efficiency with extended CIR interest rates
René Ferland and François Watier
Applied Stochastic Models in Business and Industry, 26(1), 71–84, 2010
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Jan 2008
FBSDE approach to utility portfolio selection in a market with random parameters
René Ferland and François Watier
Statistics and Probability Letters, 78(4), 426–434, 2008
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