Groupe d’études et de recherche en analyse des décisions

G-2013-91

Switch-when-Safe Multiperiod Mean-Variance Strategies

et

In this work, we study the goal-achieving probabilities of a multiperiod mean-variance financial strategy under a switch-when-safe stopping time rule. This stopping time is defined as the first moment, if it occurs, where the investor's cumulative wealth, at this point, can be safely reinvested in a simple bank account in order to meet his financial objective at the end of the investment horizon.

, 13 pages