2 papers
q-fin.MF2026
Cash-invariant hull representation of divergence preferences
AleÅ¡ Äerný, Johannes Ruf, Martin Schweizer
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monoton…
q-fin.PM2026
Dynamically optimal portfolios for monotone mean--variance preferences
AleÅ¡ Äerný, Johannes Ruf, Martin Schweizer
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides…