Short-term investments and indices of risk

Yuval Heller; Amnon Schreiber

doi:10.3982/TE3678

Short-term investments and indices of risk

Yuval Heller, Amnon Schreiber

Department of Economics

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Abstract

We study various decision problems regarding short-term investments in risky assets whose returns evolve continuously in time. We show that in each problem, all risk-averse decision makers have the same (problem-dependent) ranking over short-term risky assets. Moreover, in each problem, the ranking is represented by the same risk index as in the case of constant absolute risk aversion utility agents and normally distributed risky assets.

Original language	English
Pages (from-to)	891-921
Number of pages	31
Journal	Theoretical Economics
Volume	15
Issue number	3
DOIs	https://doi.org/10.3982/TE3678
State	Published - 1 Jul 2020

Bibliographical note

Publisher Copyright:
Copyright © 2020 The Authors.

Keywords

D81
G32
Indices of riskiness
Wiener process
local risk
risk aversion

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10.3982/TE3678

Cite this

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Short-term investments and indices of risk

Abstract

Bibliographical note

Keywords

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