On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Aleš Černý, Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini

No 79, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2]) to the optimal monotone mean-variance portfolios (cf. [9]), thus simplifying the computation of the latter.

Keywords: optimal portfolio; truncated quadratic utility; monotone mean-variance preferences; divergence preferences; HARA utility (search for similar items in EconPapers)
JEL-codes: C61 D81 G11 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2008
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:79

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