Semimartingale theory of monotone mean-variance portfolio allocation

摘要

We study dynamic optimal portfolio allocation for monotone mean-variance preferences in a general semimartingale model. Armed with new results in this area, we revisit the work of Cui et al. and fully characterize the circumstances under which one can set aside a nonnegative cash flow while simultaneously improving the mean-variance efficiency of the left-over wealth. The paper analyzes, for the first time, the monotone hull of the Sharpe ratio and highlights its relevance to the problem at hand.