Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866914709246050304 |
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| author | Li, Yuchen Liang, Zongxia Pang, Shunzhi |
| author_facet | Li, Yuchen Liang, Zongxia Pang, Shunzhi |
| contents | We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any specific setting or completeness requirement. We apply this framework to a semimartingale market and find that MV and MMV are consistent if and only if the variance-optimal signed martingale measure keeps non-negative. Further, we provide an example to show the application of our result. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_06190 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method Li, Yuchen Liang, Zongxia Pang, Shunzhi Optimization and Control 91G10, 91B16, 93E20 We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any specific setting or completeness requirement. We apply this framework to a semimartingale market and find that MV and MMV are consistent if and only if the variance-optimal signed martingale measure keeps non-negative. Further, we provide an example to show the application of our result. |
| title | Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method |
| topic | Optimization and Control 91G10, 91B16, 93E20 |
| url | https://arxiv.org/abs/2403.06190 |