A Note on Monotone Mean-Variance Preferences for Continuous Processes
10 Pages Posted: 26 Jan 2020
Date Written: December 22, 2019
We extend a recent result of Trybula and Zawisza [Mathematics of Operations Research, 44(3), 966-987, 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 stock prices are continuous.
Keywords: monotone mean-variance, mean-variance, portfolio selection, continuous processes
JEL Classification: G11, C02
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