A Note on Monotone Mean-Variance Preferences for Continuous Processes

10 Pages Posted: 26 Jan 2020

See all articles by Moris Simon Strub

Moris Simon Strub

Southern University of Science and Technology - Division of Information Systems and Management Engineering

Duan Li

Chinese University of Hong Kong; City University of Hong Kong

Date Written: December 22, 2019

Abstract

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

Suggested Citation

Strub, Moris Simon and Li, Duan, A Note on Monotone Mean-Variance Preferences for Continuous Processes (December 22, 2019). Available at SSRN: https://ssrn.com/abstract=3508308 or http://dx.doi.org/10.2139/ssrn.3508308

Moris Simon Strub (Contact Author)

Southern University of Science and Technology - Division of Information Systems and Management Engineering ( email )

1088 Xueyuan Ave
Shenzhen, Guangdong
China

HOME PAGE: http://sites.google.com/view/morisstrub/home

Duan Li

Chinese University of Hong Kong ( email )

Shatin, New Territories
Hong Kong

City University of Hong Kong

Tat Chee Avenue
Kowloon Tong
Kowloon
Hong Kong
852 3442 8591 (Phone)

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