Abstract
We consider monotone mean-variance (MMV) portfolio selection problems with a conic convex constraint under diffusion models, and their counterpart problems under mean-variance (MV) preferences. We obtain the precommitted optimal strategies to both problems in closed form and find that they coincide, with and without the presence of the conic constraint. This result generalizes the equivalence between MMV and MV preferences from nonconstrained cases to a specific constrained case. A comparison analysis reveals that the orthogonality property under the conic convex set is a key to ensuring the equivalence result.
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