Abstract
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than 0.8072. This number is universal irrespective of the market parameters, the targeted return and the length of the investment horizon.
| Original language | English |
|---|---|
| Pages (from-to) | 1751-1763 |
| Number of pages | 13 |
| Journal | Annals of Applied Probability |
| Volume | 16 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Nov 2006 |
| Externally published | Yes |
Keywords
- Continuous time
- Goalachieving
- Hitting time
- Mean-variance efficiency
- Portfolio selection
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty