Article ID Journal Published Year Pages File Type
1152501 Statistics & Probability Letters 2011 6 Pages PDF
Abstract
Li and Zhou (2006) established that an investor, following an unconstrained mean-variance strategy, will achieve its discounted targeted wealth with a probability greater than 80%. Surprisingly, we will show that under short-selling restrictions (i.e without the possibility of borrowing stocks) this lower bound probability still holds.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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