Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 15, 2023 erstellt
Description:
We study classical and monotone mean-variance portfolio selection problems when as- set prices are continuous under general trading constraints. Our main result is that optimal values and optimal strategies corresponding to these objectives coincide in this setting. The only assumptions required are that asset prices are continuous and that not investing in the risky assets is an admissible strategy. We in particular do not assume existence of an optimal strategy. If there does not exist an optimal strategy for either problem, the optimal values still coincide and there exists a sequence of admissible strategies which is optimal in the limit for both objectives