Switch-When-Safe Multiperiod Mean-Variance Strategies


  •  Rene Ferland    
  •  Francois Watier    

Abstract

In this work, we study the goal-achieving probabilities of a multiperiod mean-variance financial strategy under a \emph{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.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1927-7032
  • Issn(Onlne): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

Journal Metrics

Google-based Impact Factor (2018): 2.7

  • h-index (August 2018): 11
  • i10-index (August 2018): 15
  • h5-index (August 2018): 9
  • h5-median(August 2018): 16

( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )

Contact