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

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-11-01 DOI:10.1016/j.orl.2024.107204

Jinye Du , Moris S. Strub

引用次数: 0

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.

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当资产价格连续时，单调偏好和经典均值-方差偏好的最优策略和价值是一致的

我们研究了在一般交易约束条件下，资产价格连续时的经典和单调均值-方差投资组合选择。我们的主要结果是，在这种情况下，两个目标的最优值和最优策略是一致的。唯一需要的假设是资产价格是连续的，而且不投资于风险资产是一种可接受的策略。我们尤其不假设存在最优策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.