标题： 单调均值-方差偏好下的动态最优投资组合 显示英文标题

标题： Dynamically optimal portfolios for monotone mean--variance preferences

摘要： 单调均值-方差（MMV）效用是经典马科维茨效用的最小修改，它尊重投资机会的理性排序。 本文首次对独立收益资产价格模型中的MMV效用最优动态投资组合选择进行了完整的表征。 在最弱的假设下完成此任务，这些假设比等价鞅测度的存在性更弱，并且不对资产收益的矩施加任何限制。 我们以单调夏普比率（MSR）来解释最大MMV效用，并表明全局平方MSR作为以等于最大局部平方MSR的速率连续复利的名义收益率出现。 本文给出了均值-方差（MV）有效投资组合成为MMV有效投资组合的简单必要且充分条件。 提供了几个对比MV和MMV标准的示例。 显示英文摘要

摘要： Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides, for the first time, a complete characterization of optimal dynamic portfolio choice for the MMV utility in asset price models with independent returns. The task is performed under minimal assumptions, weaker than the existence of an equivalent martingale measure and with no restrictions on the moments of asset returns. We interpret the maximal MMV utility in terms of the monotone Sharpe ratio (MSR) and show that the global squared MSR arises as the nominal yield from continuously compounding at the rate equal to the maximal local squared MSR. The paper gives simple necessary and sufficient conditions for mean-variance (MV) efficient portfolios to be MMV efficient. Several illustrative examples contrasting the MV and MMV criteria are provided.