with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find … the connection between a utility maximizing and a mean-variance optimal strategy in a continuous semimartingale model … and the expected quadratic variation of the underlying price process. It coincides with the mean-variance optimal strategy …

optimization of truncated quadratic utility (cf. [2]) to the optimal monotone mean-variance portfolios (cf. [9]), thus simplifying …

, 2006b) on mean-variance analysis under heterogeneous beliefs in terms of either the payoffs or returns of the risky assets …, Dieci and He (2006a, 2006b) on mean-variance analysis under heterogeneous beliefs in terms of either the payoffs or returns … Words: Heterogeneity, bounded rationality, heterogeneous CAPM, mean-variance efficiency, Sharpe and Treynor ratios. JEL …

-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and … variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple …-minimizing strategy. Furthermore, since the mean-variance tradeo process is deterministic in our setup, the min- imal martingale- and …

with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find … the connection between a utility maximizing and a mean-variance optimal strategy in a continuous semimartingale model … and the expected quadratic variation of the underlying price process. It coincides with the mean-variance optimal strategy …

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to … limitations of the mean-variance framework, mainly the choice of the risk metric and the inconvenience of using an estimated … presented. The main findings indicate this proposal may effectively help overcome some of the traditional mean-variance …

regression models. These results are illustrated in the empirical application for data from US stocks. We show that mean-variance …

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance … preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not … economically meaningful. The functional associated to this new class of preferences is the best approximation of the mean-variance …