Portfolio Selection with Monotone Mean-Variance Preferences.

We propose a portfolio selection model based on a class of preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone.

MoreLess

Year of publication:	2004-04
Authors:	Maccheroni, Fabio ; Marinacci, Massimo ; Rustichini, Aldo ; Taboga, Marco
Institutions:	International Centre for Economic Research (ICER)

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	ICER Working Papers - Applied Mathematics Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	31 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005577357