Journal of Financial and Quantitative Analysis Vol. 9 No. 6 1974
Utility Analysis of Chance-Constrained Portfolio Selection
Abstract
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.
- DOI
- 10.2307/2329731
- Volume
- 9
- Issue
- 6
- Pages
- 993
- Sources
- crossref openalex