# 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

#### 412 Citations

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