On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
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2. Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models;SIAM Journal on Financial Mathematics;2022-10-13
3. Semimartingale theory of monotone mean–variance portfolio allocation;Mathematical Finance;2020-03-04
4. Convex duality and Orlicz spaces in expected utility maximization;Mathematical Finance;2019-03-12
5. Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation;SSRN Electronic Journal;2019
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