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:	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

More details

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