This is a follow up of our previous paper - Trybu{\l}a and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor model. In this article we address the problem of optimizing the mentioned functional in a market...

We consider an incomplete market with a non-tradable stochastic factor and an investment problem with optimality criterion based on a functional which is a modification of a monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton Jacobi...

In this paper we consider a modification of the classical Merton portfolio optimization problem. Namely, an investor can trade in financial asset and consume his capital. He is additionally endowed with a one unit of an indivisible asset which he can sell at any time. We give a numerical example...