We provide a formulation for optimal option portfolios under Sharpe Ratio maximization when the underlying returns follow a skew-elliptical t-distribution. This departs from the traditional normal returns setting in the context of Sharpe ratio maximization by allowing the modelling of heavy-tailed and skewed dynamics. The novelty of this paper and our main result is to provide explicit formulas for the portfolio weights when maximizing the Sharpe ratio and return-to-Value-at-Risk (VaR) ratio in the skew-elliptical setting. Numerical experiments reveal that the optimal portfolios for the two ratios are different.
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