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

DOI10.1016/j.jmateco.2012.08.006zbMath1263.91045OpenAlexW3124783236MaRDI QIDQ690974

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

zbMATH Keywords

optimal portfolioHARA utilitydivergence preferencesmonotone hullmonotone mean-variance preferencestranslation-invariant hulltruncated quadratic utility

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Constrained Monotone Mean-Variance Problem with Random Coefficients ⋮ PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

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