Switch-When-Safe Multiperiod Mean-Variance Strategies

Abstract

In this work, we study the goal-achieving probabilities of a multiperiod mean-variance financial strategy under a \emph{switch-when-safe} stopping time rule. This stopping time is defined as the first moment, if it occurs, where the investor's cumulative wealth, at this point, can be safely reinvested in a simple bank account in order to meet his financial objective at the end of the investment horizon.