2 papers
math.OC2026
Time-consistent portfolio selection with monotone mean-variance preferences
Yike Wang, Yusha Chen, Jingzhen Liu
We investigate time-inconsistent portfolio problems under a broader class of monotone mean-variance (MMV) preferences. Since the optimal strategies for MMV and mean-variance (MV) p…
q-fin.MF2026
Strictly monotone mean-variance preferences with applications to portfolio selection
Yike Wang, Yusha Chen, Jingzhen Liu +1
The monotone mean-variance (MMV) preference proposed by Maccheroni, et al. (Math. Finance 19(3): 487-521, 2009) fails to differentiate strictly dominant payoffs, which may cause in…