Semimartingale theory of monotone mean–variance portfolio allocation

DOI10.1111/MAFI.12241OpenAlexW3100469906MaRDI QIDQ5855952

Aleš Černý

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.06912

zbMATH Keywords

monotone mean-variancefree cash-flow streammonotone Sharpe ratio

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Portfolio theory (91G10)

Related Items (3)

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth ⋮ Constrained Monotone Mean-Variance Problem with Random Coefficients

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