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

Ales Cerný, Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini

No 79, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: 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.

Keywords: optimal portfolio; truncated quadratic utility; monotone mean-variance preferences; divergence preferences; HARA utility (search for similar items in EconPapers)
JEL-codes: G11 D81 C61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-upt
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:cca:wpaper:79

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