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

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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