# Sharpe ratio with CVaR for denominator and different investor utility functions

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!

• A common utility function used in the literature is CRRA with a parameter $\eta$ between 2 and 5 en.wikipedia.org/wiki/Isoelastic_utility Apr 24 '19 at 14:43
• I found this article about using CVaR in the Sharpe ratio denominator instead of standard deviation. scielo.org.za/… Sep 12 '21 at 21:56