SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
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Publication:3503048
DOI10.1142/S0219024907004688zbMath1141.91429OpenAlexW2118065067MaRDI QIDQ3503048
Morten Mosegaard Christensen, Eckhard Platen
Publication date: 20 May 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024907004688
utility maximizationtwo-fund separationSharpe ratiojump-diffusionmutual fundgrowth optimal portfolio
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