G-2013-91
Switch-when-Safe Multiperiod Mean-Variance Strategies
et 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.
Paru en décembre 2013 , 13 pages
Publication
jan. 2013
Switch-when-safe multiperiod nean-variance strategies
et
International Journal of Statistics and Probability, 2(2), 59–66, 2013
référence BibTeX