I would like to model different type of investors, hence I need to find some kind of utility functions to optimize. Apart from very abstract exponential utility function, I couldn't find any proper one. Frankly speaking, I would like to find some kind of more realistic criteria rather than type of abstract utility function. For example, for risk-neutral investor I have two questions:
1)Is it possible to use Sharpe ratio? (Can it be named as a criterion for risk-neutral?)
2)Can I use CVaR/VaR in denominator of SR (instead of StdDev)? If no, why not? I think, this will better account for fat tails.
If there are papers on this topic (utility functions for different investing styles), I would really appreciate it!
Thank you in advance!