On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
DOI10.1016/J.JMATECO.2012.08.006zbMATH Open1263.91045OpenAlexW3124783236MaRDI QIDQ690974FDOQ690974
Massimo Marinacci, Aldo Rustichini, Fabio Maccheroni, Aleš Černý
Publication date: 29 November 2012
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2012.08.006
Recommendations
HARA utilityoptimal portfoliodivergence preferencesmonotone hullmonotone mean-variance preferencestranslation-invariant hulltruncated quadratic utility
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