On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility

DOI10.1016/J.JMATECO.2012.08.006MaRDI QIDQ690974zbMATH OpenOpenAlexFDO

Authors Aleš Černý, Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini

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

zbMATH Keywords

HARA utilityoptimal portfoliodivergence preferencesmonotone hullmonotone mean-variance preferencestranslation-invariant hulltruncated quadratic utility

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4072103 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• A NOTE ON SEMIVARIANCE
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• Admissible strategies in semimartingale portfolio selection
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Convex measures of risk and trading constraints
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Level Sets and Continuity of Conjugate Convex Functions
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• Monotone and cash-invariant convex functions and hulls
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Robust Preferences and Robust Portfolio Choice
• Stochastic finance. An introduction in discrete time

Cited in

(4)

• Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models
• Constrained Monotone Mean-Variance Problem with Random Coefficients
• Semimartingale theory of monotone mean–variance portfolio allocation
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

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