This paper treats the following problem. How much money should be invested at time t₀ at an interest rate of I for a time T such that the probability of the funds required "K(T)" exceeding those available "X(T)" equals at most p. That is P{K(T) X(T)} < p, where X(T) - X(t₀) exp{ I(T - t₀)}. The parameters I, T,...</p,>

We propose a new procedure to rank portfolio performance. Given a set of N portfolios, we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the...