The DOI matches its Crossref record; 87 of the 87 references it cites were found in a registry or an index.
PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES
Open accessAbstract
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean‐variance preferences on their domain of monotonicity, but differ where mean‐variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated with this new class of preferences is the best approximation of the mean‐variance functional among those which are monotonic. We solve the portfolio selection problem and we derive a monotone version of the capital asset pricing model (CAPM), which has two main features: (i) it is, unlike the standard CAPM model, arbitrage free, (ii) it has empirically testable CAPM‐like relations. The monotone CAPM has thus a sounder theoretical foundation than the standard CAPM and a comparable empirical tractability.
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Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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Maxmin expected utility with non-unique prior
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Liquidity Preference as Behavior Towards Risk
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Gibbons, M. R., Ross, S. A., & Shanken, J. (1989) · Econometrica · doi:10.2307/1913625 · Cited by 2,350
Robust Control and Model Uncertainty
Hansen, L. P., & Sargent, T. J. (2001) · American Economic Review · doi:10.1257/aer.91.2.60 · Cited by 1,344
Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
Maccheroni, F., Marinacci, M., & Rustichini, A. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00716.x · Cited by 1,124
Self-citationThe New Palgrave: A Dictionary of Economics
(1987) · Palgrave Macmillan eBooks · doi:10.1057/9780230279803 · Cited by 1,081
Risk Aversion, Wealth, and Background Risk
Guiso, L., & Paiella, M. (2008) · Journal of the European Economic Association · doi:10.1162/jeea.2008.6.6.1109 · Cited by 1,057
How do banks set interest rates?
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Cited by
Mastrobuoni, G. (2009) · Journal of Public Economics · doi:10.1016/j.jpubeco.2009.07.009 · Cited by 448
Industry Dynamics and Competition from Low‐Wage Countries: Evidence on Italy
Federico, S. (2014) · Oxford Bulletin of Economics and Statistics · doi:10.1111/obes.12023 · Cited by 281
The Incapacitation Effect of Incarceration: Evidence from Several Italian Collective Pardons
Barbarino, A., & Mastrobuoni, G. (2014) · American Economic Journal: Economic Policy · doi:10.1257/pol.6.1.1 · Cited by 108
Metadata
- Authors
- Maccheroni, F., Marinacci, M., Rustichini, A., & Taboga, M.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 2009-06-26
- Volume
- 19
- Issue
- 3
- Pages
- 487-521
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2240115526
- Cited by
- 426
- References
- 87
- FWCI
- 102.38
- Type
- journal article
- Language
- en
- Open access
- green
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- Maccheroni, F., Marinacci, M., Rustichini, A., & Taboga, M. (2009). PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES. Mathematical Finance. https://doi.org/10.1111/j.1467-9965.2009.00376.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
