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Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
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Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
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We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We obtain the precommitted optimal strategies to both problems in closed form and find that they coincide, without and with the presence of the conic constraint. This result generalizes the equivalence between MMV and MV preferences from non-constrained cases to a specific constrained case. A comparison analysis reveals that the orthogonality property under the conic convex set is a key to ensuring the equivalence result.
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Cited by 1 Pith paper
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Time-consistent portfolio selection with monotone mean-variance preferences
Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.
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