Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-01 (All new papers)
- NEP-CFN-2005-12-01 (Corporate Finance)
- NEP-FIN-2005-12-01 (Finance)
- NEP-RMG-2005-12-01 (Risk Management)
- NEP-UPT-2005-12-01 (Utility Models & Prospect Theory)
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