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

Article, Preprint OPEN
Ales Cerný; Fabio Maccheroni; Massimo Marinacci; Aldo Rustichini;
  • Journal: Journal of Mathematical Economics
  • Related identifiers: doi: 10.2139/ssrn.1278623
  • Subject: optimal portfolio, truncated quadratic utility, monotone mean-variance preferences, divergence preferences, HARA utility
    • jel: jel:G11 | jel:C61 | jel:D81

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 q... View more
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    11 references, page 1 of 2

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