Portfolio Selection with Monotone Mean-Variance Preferences
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.
|Date of creation:||Apr 2004|
|Date of revision:||Dec 2004|
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- Massimo Marinacci & Paolo Ghirardato, 2001.
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ICER Working Papers - Applied Mathematics Series
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"Ambiguity Aversion, Robustness, and the Variational Representation of Preferences,"
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12, Collegio Carlo Alberto, revised 2006.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
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- Domenico Menicucci, 2001.
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- Fabio Maccheroni & Massimo Marinacci, 2004. "A strong law of large numbers for capacities," ICER Working Papers - Applied Mathematics Series 28-2004, ICER - International Centre for Economic Research.
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