# PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES

@article{Maccheroni2004PORTFOLIOSW, title={PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES}, author={Fabio Maccheroni and Massimo Marinacci and Aldo Rustichini and Marco Taboga}, journal={Mathematical Finance}, year={2004}, volume={19} }

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…

## 387 Citations

### A Note on Monotone Mean-Variance Preferences for Continuous Processes

- Economics, MathematicsOper. Res. Lett.
- 2020

The main finding is that the optimal strategies for monotone and classical mean–variance preferences coincide in a stochastic factor model for the financial market.

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

- MathematicsSIAM J. Financial Math.
- 2022

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

- Economics, Mathematics
- 2020

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

- Economics, Mathematics
- 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 et al. and…

### Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

- Economics, MathematicsSSRN 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

- Economics
- 2014

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…

### CONTINUOUS TIME PORTFOLIO CHOICE UNDER MONOTONE PREFERENCES WITH QUADRATIC PENALTY - STOCHASTIC INTEREST RATE CASE

- Mathematics
- 2014

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

- Mathematics, EconomicsRAIRO Oper. Res.
- 2021

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.

### Working Papers / Documents de travail WP 2013-Nr 08 Optimal Portfolio with Vector Expected Utility

- Economics
- 2013

We study the optimal portfolio selected by an investor who conforms to Siniscalchi (2009)’s Vector Expected Utility’s (VEU) axioms and who is ambiguity averse. To this end, we derive a mean-variance…

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