Article contents
Utility Analysis of Chance-Constrained Portfolio Selection
Published online by Cambridge University Press: 19 October 2009
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.
- 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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