The current literature on behavioral portfolio optimization with reference point updating assumes that the decision maker foresees how the reference point will evolve and thus solves a time-consistent problem formulation. Empirical findings on the other hand suggest that decision makers often...

We extend a recent result of Trybula and Zawisza [Mathematics of Operations Research, 44(3), 966-987, 2019], who investigate a continuous-time portfolio optimization problem under monotone mean-variance preferences. Their main finding is that the optimal strategies for monotone and classical...

As the dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the...