On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated quadratic utility (see Černý, 2003) to the optimal monotone mean–variance portfolios (see Maccheroni et al., 2009), thus simplifying the computation of the latter.

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Year of publication:	2012
Authors:	Černý, Aleš ; Maccheroni, Fabio ; Marinacci, Massimo ; Rustichini, Aldo
Published in:	Journal of Mathematical Economics. - Elsevier, ISSN 0304-4068. - Vol. 48.2012, 6, p. 386-395
Publisher:	Elsevier
Subject:	Optimal portfolio \| Truncated quadratic utility \| Monotone mean–variance preferences \| Divergence preferences \| HARA utility \| Monotone hull \| Translation-invariant hull

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065388