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Utility Analysis of Chance-Constrained Portfolio Selection

Published online by Cambridge University Press:  19 October 2009

Enrique R. Arzac
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Extract

Single-period portfolio selection deals with the allocation of an investor's initial wealth to a finite number of risky assets according to his preferences over random final wealth. The purpose of this paper is to study chance-constrained portfolio selection from the point of view of utility theory.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 993 - 1007
Copyright
Copyright © School of Business Administration, University of Washington 1974

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References

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