A note on monotone mean-variance preferences for continuous processes

被引：9

作者：

Strub, Moris S. ^{[1
]}

Li, Duan ^{[2
]}

机构：

[1] Southern Univ Sci & Technol, Coll Business, Taizhou Bldg 501-5 D,Xueyuan Ave 1088, Shenzhen 518055, Guangdong, Peoples R China

[2] City Univ Hong Kong, Sch Data Sci, Hong Kong, Peoples R China

来源：

OPERATIONS RESEARCH LETTERS | 2020年 / 48卷 / 04期

关键词：

Monotone mean-variance; Mean-variance; Portfolio selection; Continuous processes; PORTFOLIO SELECTION; RANDOM PARAMETERS; CHOICE;

D O I：

10.1016/j.orl.2020.05.003

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We extend a recent result of Trybula and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean-variance preferences. Their main finding is that the optimal strategies for monotone and classical mean-variance preferences coincide in a stochastic factor model for the financial market. We generalize this result to any model for the financial market where asset prices are continuous. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：397 / 400

页数：4

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