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.
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页码：397 / 400
页数：4
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