Portfolio Selection with Monotone Mean-Variance Preferences

@article{Maccheroni2004PortfolioSW,
  title={Portfolio Selection with Monotone Mean-Variance Preferences},
  author={F. Maccheroni and M. Marinacci and A. Rustichini and Marco Taboga},
  journal={ERN: Econometric Modeling in Financial Economics (Topic)},
  year={2004}
}
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 to 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 the… Expand
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