SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS

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

zbMATH Keywords

utility maximizationtwo-fund separationSharpe ratiojump-diffusionmutual fundgrowth optimal portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Radner equilibrium in incomplete Lévy models ⋮ Asset allocation under predictability and parameter uncertainty using Lasso ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

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