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.
Full Citation
.
“Utility Analysis of Chance-Constrained Portfolio Selection.”
The Journal of Financial and Quantitative Analysis
vol.
9
,
no.
6
(December 01, 1974):
993
-1007
.
doi: https://www.jstor.org/stable/2329731