Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152501 | Statistics & Probability Letters | 2011 | 6 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alexandre Scott, François Watier,