A mixed Sharpe ratio

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Publication:3119599

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DOI10.3233/RDA-2012-0051zbMath1409.91303OpenAlexW1743585886MaRDI QIDQ3119599

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Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0051

zbMATH Keywords

Lévy processes sharpe ratio optimal trading strategy mutual funds optimal stopping theory

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99)

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