Goal achieving probabilities of cone-constrained mean-variance portfolios
type: Item
instance of: scholarly article
title: Goal achieving probabilities of cone-constrained mean-variance portfolios
author: Chantal Labbé
author: François Watier
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-12T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7880618
zbMATH Keywords: mean-variance portfolio
zbMATH Keywords: conic trading constraints
zbMATH Keywords: incomplete market
zbMATH Keywords: continuous-time market model driven by a Brownian motion
zbMATH Keywords: deterministic coefficients
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: first passage times
zbMATH Keywords: double barrier
MaRDI profile type: Publication
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DOI: 10.1002/ASMB.2002
description: scientific article; zbMATH DE number 7880618