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Portfolio Selection with Monotone Mean-Variance Preferences

Author

Listed:
  • Massimo Marinacci

    (Università di Torino)

  • Fabio Maccheroni

    (Università Commerciale L. Bocconi)

  • Aldo Rustichini

    (University of Minnesota)

  • Marco Taboga

    (Banca d'Italia)

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.

Suggested Citation

  • Massimo Marinacci & Fabio Maccheroni & Aldo Rustichini & Marco Taboga, 2005. "Portfolio Selection with Monotone Mean-Variance Preferences," Finance 0502014, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0502014
    Note: Type of Document - pdf; pages: 31
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Portfolio selection. Mean-variance. Risk measures. Convex risk measures. Ambiguity. Robustness. Asymmetric returns.;

    JEL classification:

    • G - Financial Economics

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