Semimartingale theory of monotone mean--variance portfolio allocation

Ale\v{s} \v{C}ern\'y
Authors registered in the RePEc Author Service: Aleš Černý

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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, Li, Wang and Zhu (2012, MAFI) and fully characterize the circumstances under which one can set aside a non-negative 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: 2019-03, Revised 2020-01
New Economics Papers: this item is included in nep-rmg
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Published in Mathematical Finance 30(3), 1168-1178, 2020

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Journal Article: Semimartingale theory of monotone mean–variance portfolio allocation (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.06912

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