Portfolio Selection with Monotone Mean-Variance Preferences

Massimo Marinacci, Fabio Maccheroni, Aldo Rustichini and Marco Taboga ()
Additional contact information
Fabio Maccheroni: Università Commerciale L. Bocconi
Aldo Rustichini: University of Minnesota

Finance from EconWPA

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.

Keywords: Portfolio; selection.; Mean-variance.; Risk; measures.; Convex; risk; measures.; Ambiguity.; Robustness.; Asymmetric; returns. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-02-16
Note: Type of Document - pdf; pages: 31
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http://129.3.20.41/eps/fin/papers/0502/0502014.pdf (application/pdf)

Related works:
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2008)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2007)
Working Paper: Portfolio Selection with Monotone Mean-Variance Preferences (2004)
Journal Article: PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0502014

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