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… 
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References

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