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When are Sharpe Ratio Based Investments Superior?

April 26, 2017based investments ratio sharpe superior

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When are Sharpe Ratio Based Investments Superior?

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by Morten Mosegaard Christensen & Eckhard Platen September 16, 2005 Abstract In a continuous time setting we provide exact conditions under which all utility maximizing investors choose to maximize the Sharpe ratio, and hence reduce the dimension of the investment decision due to two-fund separation. Our conditions covers cases where the investment opportunity set can be stochastic and the mutual fund can have a variety of distributions. Our results are stated for quite general specifications of investor preferences…