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Semimartingale theory of monotone mean--variance portfolio allocation

Černý, A. ORCID: 0000-0001-5583-6516 (2020). Semimartingale theory of monotone mean--variance portfolio allocation. Mathematical Finance, doi: 10.1111/mafi.12241

Abstract

We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui, Li, Wang and Zhu (2012, MAFI) and fully characterize the circumstances under which one can set aside a non-negative cash flow while simultaneously improving the mean--variance efficiency of the left-over wealth. The paper analyzes, for the first time, the monotone hull of the Sharpe ratio and highlights its relevance to the problem at hand.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article: Černý, A. (2019). Semimartingale theory of monotone mean--variance portfolio allocation. Mathematical Finance, which has been published in final form at https://onlinelibrary.wiley.com/journal/14679965. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Subjects: Q Science > QA Mathematics
Departments: Business School > Finance
Date Deposited: 25 Oct 2019 14:34
URI: https://openaccess.city.ac.uk/id/eprint/22907
[img] Text - Accepted Version
This document is not freely accessible until 4 March 2022 due to copyright restrictions.

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