Monotone and cash-invariant convex functions and hulls
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- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004.
"Portfolio Selection with Monotone Mean-Variance Preferences,"
ICER Working Papers - Applied Mathematics Series
27-2004, ICER - International Centre for Economic Research, revised Dec 2004.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean-Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2008. "Portfolio Selection with Monotone Mean-Variance Preferences," Temi di discussione (Economic working papers) 664, Bank of Italy, Economic Research and International Relations Area.
- Massimo Marinacci & Fabio Maccheroni & Aldo Rustichini & Marco Taboga, 2005. "Portfolio Selection with Monotone Mean-Variance Preferences," Finance 0502014, EconWPA.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004. "Portfolio Selection with Monotone Mean-Variance Preferences," Carlo Alberto Notebooks 6, Collegio Carlo Alberto, revised 2007.
- Bühlmann, Hans & Jewell, William S., 1979. "Optimal Risk Exchanges," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(03), pages 243-262, December.
- H. Föllmer & Y.M. Kabanov, 1997.
"Optional decomposition and Lagrange multipliers,"
Finance and Stochastics,
Springer, vol. 2(1), pages 69-81.
- Bühlmann, Hans, 1984. "The General Economic Premium Principle," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 14(01), pages 13-21, April.
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