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G-2013-91

Switch-when-Safe Multiperiod Mean-Variance Strategies

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référence BibTeX

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

Publication

Switch-when-safe multiperiod nean-variance strategies
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International Journal of Statistics and Probability, 2(2), 59–66, 2013 référence BibTeX