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

*Ales Cerný*;

*Fabio Maccheroni*;

*Massimo Marinacci*;

*Aldo Rustichini*;

- Journal: Journal of Mathematical Economics
Related identifiers: - 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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