Affiliations: Department of Statistics, Chinese University of Hong Kong, Hong Kong | Department of Mathematics, University of Hong Kong, Hong Kong
Note:  Address for correspondence: S.P. Yung, Department of Mathematics, University of Hong Kong, Hong Kong. E-mail: firstname.lastname@example.org
Abstract: In this paper, we study a mean–variance portfolio selection problem that has a probabilistic benchmark constraint. This constraint changes the problem into a non-convex one but could be solved via the method of Lagrange multipliers, whose existence is crucial in the solution.