CHRISTENSEN, MORTEN MOSEGAARD; PLATEN, ECKHARD - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1339-1364
We analyze portfolio strategies which are locally optimal, meaning that they maximize the Sharpe ratio in a general continuous time jump-diffusion framework. These portfolios are characterized explicitly and compared to utility based strategies. We show that in the presence of jumps, maximizing...