Semimartingale theory of monotone mean–variance portfolio allocation

Aleš Černý

Mathematical Finance, 2020, vol. 30, issue 3, 1168-1178

Abstract: We study dynamic optimal portfolio allocation for monotone mean–variance preferences in a general semimartingale model. Armed with new results in this area, we revisit the work of Cui et al. and fully characterize the circumstances under which one can set aside a nonnegative cash flow while simultaneously improving the mean–variance efficiency of the left‐over wealth. The paper analyzes, for the first time, the monotone hull of the Sharpe ratio and highlights its relevance to the problem at hand.

Date: 2020
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Citations: View citations in EconPapers (4)

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https://doi.org/10.1111/mafi.12241

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Working Paper: Semimartingale theory of monotone mean--variance portfolio allocation (2020)
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