{"paper":{"title":"Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Shunzhi Pang, Yuchen Li, Zongxia Liang","submitted_at":"2022-11-26T04:13:15Z","abstract_excerpt":"This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the L\\'{e}vy market with an untradable stochastic factor. It is an open question proposed by Trybu{\\l}a and Zawisza. Using the dynamic programming and Lagrange multiplier methods, we get the HJBI and HJB equations corresponding to the two investment problems. The equations are transformed into a new-type parabolic equation, from which the optimal strategies under both preferences are derived. We prove that the two optimal strategies and value functions coincide if and"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2211.14473","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2211.14473/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}