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Utility Analysis of Chance-Constrained Portfolio Selection

Enrique Arzac

Journal of Financial and Quantitative Analysis, 1974, vol. 9, issue 6, 993-1007

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.

Date: 1974
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Handle: RePEc:cup:jfinqa:v:9:y:1974:i:06:p:993-1007_01