On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2]) to the optimal monotone mean-variance portfolios (cf. [9]), thus simplifying the computation of the latter.

MoreLess

Year of publication:	2008
Authors:	Cerný, Ales ; Maccheroni, Fabio ; Marinacci, Massimo ; Rustichini, Aldo
Institutions:	Collegio Carlo Alberto, Università degli Studi di Torino
Subject:	optimal portfolio \| truncated quadratic utility \| monotone mean-variance preferences \| divergence preferences \| HARA utility

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Carlo Alberto Notebooks.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 79 19 pages
Classification:	G11 - Portfolio Choice ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005405555