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T. R. Bielecki, H. Jin, S. R. Pliska and X. Y. Zhou, “Continuous-Time Mean-Variance Portfolio Selection with Bankruptcy Prohibition,” Mathematical Finance, Vol. 15, No. 2, 2005, pp. 213-244. doi:10.1111/j.0960-1627.2005.00218.x

has been cited by the following article:

• TITLE: Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint

  AUTHORS: Alexandre Scott, Francois Watier

  KEYWORDS: First Passage-Time; Mean-Variance Portfolios; Semi-Infinite Programming

  JOURNAL NAME: Applied Mathematics, Vol.3 No.12A, December 31, 2012

  ABSTRACT: We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.