Portfolio Selection with Monotone Mean-Variance Preferences

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: We propose a portfolio selection model based on a class of preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone.

New Economics Papers: this item is included in nep-fin
Date: 2004-04, Revised 2004-12
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http://www.icer.it/docs/wp2004/Maccheroni-Marinacci27-04.pdf (application/pdf)

Related works:
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2005)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2008)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2007)
Journal Article: PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:icr:wpmath:27-2004

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