Utility Analysis of Chance-Constrained Portfolio Selection: A Correction

Enrique Arzac

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 2, 321-323

Abstract: In [1, p. 999] I wrongly stated that “the solution locus generated by the chance-constrained problem is efficient (for the class of utility function implied by the expected wealth-probability of ruin criterion) if the assets follow a multinomial distribution with means above the survival level.” In support of this statement footnote 6 of [1] attempted to establish the quasiconcavity of the expected utility functionin the (μ, σ) plane, where F is the normal distribution, z = (s-μ)/σ

Date: 1977
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