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