Portfolio Selection with Monotone Mean-Variance Preferences

Massimo Marinacci, Fabio Maccheroni, Aldo Rustichini and Marco Taboga
Additional contact information
Marco Taboga: Banca d'Italia

Finance from University Library of Munich, Germany

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)
Pages: 31 pages
Date: 2005-02-16
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 31
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0502/0502014.pdf (application/pdf)

Related works:
Journal Article: PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0502014

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