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.

Full Text: PDF DOI: 10.5539/ijsp.v2n2p59

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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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