Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case
A 2020 paper by Trybuła and Zawisza on portfolio optimization, using a linear factor model: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“What is more, we show that our solution is also optimal for the classical Markowitz problem and every optimal solution for the classical Markowitz problem is optimal also for the monotone mean-variance preferences.”
StrategyPortfolio optimization
TechniqueLinear factor modelmathematical derivation
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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