SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS (Q3503048)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS |
scientific article |
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SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS (English)
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20 May 2008
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Sharpe ratio
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jump-diffusion
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two-fund separation
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utility maximization
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growth optimal portfolio
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mutual fund
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