We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences and optimal portfolios generated by classical expected utility.
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
Maccheroni, Fabio;Marinacci, Massimo;Rustichini, Aldo
2012
Abstract
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences and optimal portfolios generated by classical expected utility.
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