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.

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Year of publication:	2005-02-16
Authors:	Marinacci, Massimo ; Maccheroni, Fabio ; Rustichini, Aldo ; Taboga, Marco
Institutions:	EconWPA
Keywords:	Portfolio selection. Mean-variance. Risk measures. Convex risk measures. Ambiguity. Robustness. Asymmetric returns

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 31 31 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561696