Utility Analysis of Chance-Constrained Portfolio Selection: A Correction
Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 2, 321-323
In [1, p. 999] I wrongly stated that â€œthe 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.â€ In support of this statement footnote 6 of  attempted to establish the quasiconcavity of the expected utility functionin the (Î¼, Ïƒ) plane, where F is the normal distribution, z = (s-Î¼)/Ïƒ
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