Sharpe ratio maximization and expected utility when asset prices have jumps
Morten Mosegaard Christensen; Eckhard Platen
| Year of publication: |
2007
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|---|---|
| Authors: | Christensen, Morten Mosegaard ; Platen, Eckhard |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 10.2007, 8, p. 1339-1364
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| Subject: | Stochastischer Prozess | Stochastic process | Erwartungsnutzen | Expected utility | CAPM | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003632086