author={Fabio Maccheroni and Massimo Marinacci and Aldo Rustichini and Marco Taboga},
  journal={Mathematical Finance},
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean‐variance preferences on their domain of monotonicity, but differ where mean‐variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated with this new class of preferences is the best approximation of the mean‐variance functional among those which are monotonic. We solve the portfolio selection problem and we derive a monotone version of… 

Optimal portfolio with vector expected utility

Optimal Reinsurance-investment Strategy for a Monotone Mean-Variance Insurer in the Cram\'er-Lundberg Model

As classical mean-variance preferences have the shortcoming of non-monotonicity, portfolio selection theory based on monotone mean-variance preferences is becoming an important research topic

Constrained monotone mean-variance problem with random coefficients

This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) with convex cone trading constraints in a market with random coefficients. We provide explicit optimal

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models

We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We

Semimartingale theory of monotone mean–variance portfolio allocation

We study dynamic optimal portfolio allocation for monotone mean–variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui et al. (2012)

Semimartingale theory of monotone mean–variance portfolio allocation

We study dynamic optimal portfolio allocation for monotone mean–variance preferences in a general semimartingale model. Armed with new results in this area, we revisit the work of Cui et al. and

Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

  • A. Cerný
  • Economics, Mathematics
    SSRN Electronic Journal
  • 2019
We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui, Li, Wang and

A Paradox of the Mean Variance Setting for the Long Term Investor

We show that the mean-variance preferences have counterfactual implications for a risk averse long term decision maker. In the simple case of dynamic portfolio choice, we show that the optimal


This is a follow up of our previous paper - Trybu{\l}a and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor

Optimal reinsurance and investment strategies for an insurer under monotone mean-variance criterion

The optimal strategy and the optimal value function for the monotone mean-variance problem are derived by the approach of dynamic programming and the Hamilton-Jacobi-Bellman-Isaacs equation and it is proved that the optimal strategy is an efficient strategy.



Mean-Variance Theory in Complete Markets

Two paradigms in the pricing of risky assets are the "complete markets" model of Arrow and Debreu and mean-variance pricing as embodied in the capital asset pricing model (CAPM). The former is

A Mean-Variance Framework for Tests of Asset Pricing Models

This article presents a mean-variance framework for likelihood- ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?

We show in any economy trading options, with investors having mean-variance preferences, that there are arbitrage opportunities resulting from negative prices for out of the money call options. The

Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets

This paper draws on the seminal article of Cochrane and Saa-Requejo (2000) who pioneered the calculation of option price bounds based on the absence of arbitrage and high Sharpe Ratios. Our

On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type

It is proved that the pricing equilibrium is unique as long as the agents exhibit uniformly bounded relative risk aversion, and a generic uniqueness result is given regardless of agent’s preferences.

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a generalized method of moments framework. These tests are potentially more robust than

The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights

This paper presents an exact finite-sample statistical procedure for testing hypotheses about the weights of mean-variance efficient portfolios. The estimation and inference procedures on efficient

Time-Consistency of Indifference Prices and Monetary Utility Functions

We consider an economic agent with dynamic preference over a set of uncertain monetary payoffs. We assume that the agent's preferences are given by utility functions, which are updated in a

Dynamic variational preferences

Variational representation of preferences under ambiguity

In the classic Anscombe and Aumann decision setting, we give necessary and sufficient conditions that guarantee the existence of a utility function u on outcomes and an ambiguity index c on the set