A Comment on “Probability of Survival as an Investment Criterion” By Fred Hanssmann

In a recent article of this journal, Hanssmann [Hanssmann, Fred. 1968. Probability of survival as an investment criterion. Management Sci. 15(1, September) 33–48.] proposed probability of survival as an investment planning criterion. An earlier paper by Roy [Roy, A. D. 1952. Safety first and the holding of assets. Econometrica (July) 431–439.] has shown that the normality assumption is not necessary in order to utilize probability of survival in investment planning and that a result identical and Hanssmann's is possible in the absence of any specific assumption concerning the form of the probability distributions involved. Hence, use of probability of survival as an investment planning criterion requires only a relatively weak assumption concerning probability distributions of portfolio returns, i.e., finite means and variances. There is no need to assume normality or, for that matter, any specific form for portfolio probability distributions.

• 저널Management Science · 17(12) · B–772
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.17.12.b772
• 저자D. J. Laughhunn