On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility

Aleš Černý, Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini

Journal of Mathematical Economics, 2012, vol. 48, issue 6, 386-395

Abstract: We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated quadratic utility (see Černý, 2003) to the optimal monotone mean–variance portfolios (see Maccheroni et al., 2009), thus simplifying the computation of the latter.

Keywords: Optimal portfolio; Truncated quadratic utility; Monotone mean–variance preferences; Divergence preferences; HARA utility; Monotone hull; Translation-invariant hull (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:48:y:2012:i:6:p:386-395

DOI: 10.1016/j.jmateco.2012.08.006

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