一般市场中均值方差偏好与单调均值方差偏好的比较：一个新的视角

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

Operations Research Letters Pub Date : 2025-04-16 DOI:10.1016/j.orl.2025.107298

Yuchen Li , Zongxia Liang , Shunzhi Pang

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引用次数: 0

摘要

我们提出了一个一般框架来分析均值方差和单调均值方差投资组合选择之间的关系。我们的框架不依赖于特定的市场设置，只要求可接受的最终财富集是封闭的，或者进一步凸出和封闭。我们将此框架应用于几个不同的市场：完全市场、半鞅市场、锥约束策略市场和离散时间市场。我们相信这个框架可以扩展到其他市场，为这两种偏好之间的关系提供更深入的见解。

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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Comparison between mean-variance and monotone mean-variance preferences in general markets: A new perspective

We propose a general framework to analyze the relationship between mean-variance and monotone mean-variance portfolio selections. Our framework does not rely on specific market settings, requiring only that the admissible final wealth set is closed or, further convex and closed. We apply this framework to several different markets: complete market, semimartingale market, market with cone-constrained strategies, and discrete-time market. We believe this framework can be extended to other markets, offering deeper insights into the relationship between these two preferences.

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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.