  We study dynamic optimal portfolio allocation for monotone mean--variance
preferences in a general semimartingale model. Armed with new results in this
area we revisit the work of Cui, Li, Wang and Zhu (2012, MAFI) and fully
characterize the circumstances under which one can set aside a non-negative
cash flow while simultaneously improving the mean--variance efficiency of the
left-over wealth. The paper analyzes, for the first time, the monotone hull of
the Sharpe ratio and highlights its relevance to the problem at hand.
