Goal achieving probabilities of cone-constrained mean-variance portfolios

DOI10.1002/asmb.2002MaRDI QIDQ6571860

Chantal Labbé, François Watier

Publication date: 12 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

first passage timesincomplete marketBlack-Scholes modeldouble barriermean-variance portfoliodeterministic coefficientsconic trading constraintscontinuous-time market model driven by a Brownian motion

Mathematics Subject Classification ID

Statistics (62-XX)

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