Work

Optimal strategies and values for monotone and classical mean-variance preferences coincide when asset prices are continuous

Year: 2024

Type: article

Abstract: We study classical and monotone mean-variance portfolio selection when asset prices are continuous under general trading constraints. Our main result is that optimal values and strategies for both objectives coincide in this setting. The only assumptions required are that asset prices are continuous and that not investing in the risky assets is an admissible strategy. We in particular do not assume existence of an optimal strategy.

Source: Operations Research Letters

DOI: 10.1016/j.orl.2024.107204

Authors: Jinye Du, Moris S. Strub

Institutions: Southern University of Science and Technology, University of Warwick

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,870

Funders: University of Warwick, Southern University of Science and Technology