"Portfolio Management with Safety Criteria in Complete Financial Markets"

   Jean-Luc Prigent and Salwa Toumi  University of Cergy, 
       33 bd du Port, 95011, Cergy, France

 Abstract: 
  We examine portfolio asset management under safety constraints that
control the probability that the portfolio return falls under a given
reference level. We extend previous results of Roy (1952) and Kataoka
(1963) that have been proved in a one-period setting to both multiperiod
discrete-time and continuous-time models. Basic examples illustrate the
results.