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Utility Analysis of Chance-Constrained Portfolio Selection

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  • Arzac, Enrique R.

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.

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  • Arzac, Enrique R., 1974. "Utility Analysis of Chance-Constrained Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 993-1007, December.
    • Handle: RePEc:cup:jfinqa:v:9:y:1974:i:06:p:993-1007_01
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    Cited by:

    1. Kaplanski, Guy & Kroll, Yoram, 2002. "VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey," MPRA Paper 80070, University Library of Munich, Germany.

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