An Extension of the Markowitz Portfolio Selection Model to Include Variable Tran

Cover An Extension of the Markowitz Portfolio Selection Model to Include Variable Tran
An Extension of the Markowitz Portfolio Selection Model to Include Variable Tran
G a Gerald a Pogue
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, to the probability C that the investors' terminal wealth will be less than zero.
For a discussion of probabilistic constraints, see Charnes, A. And Cooper, W. W. "Chance Constrained Programming, " Management Science . Oct. 1959.
:tli f :;-■>;■'■ ■ ciF, oo7q sirlT, 01 35 0. 1 24 converted to a deterministic equivalent under each of the addumptions made earlier about the joint distributions of terminal security values. Under assumptions Bl and B2 the distribution of terminal portfolio net worth
... will be normally distributed. Thus, from normal probability tables we can determine a value k such that, P[NW

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