The paper characterizes optimal dynamic portfolios for monotone mean-variance utility in independent-return models, linking maximal utility to the monotone Sharpe ratio and giving conditions under which mean-variance efficient portfolios are also monotone mean-variance efficient.
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Dynamically optimal portfolios for monotone mean--variance preferences
The paper characterizes optimal dynamic portfolios for monotone mean-variance utility in independent-return models, linking maximal utility to the monotone Sharpe ratio and giving conditions under which mean-variance efficient portfolios are also monotone mean-variance efficient.