Short-term investments and indices of risk

Research output: Contribution to journalArticlepeer-review

15 Downloads (Pure)


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 languageEnglish
Pages (from-to)891-921
Number of pages31
JournalTheoretical Economics
Issue number3
StatePublished - 1 Jul 2020

Bibliographical note

Publisher Copyright:
Copyright © 2020 The Authors.


  • D81
  • G32
  • Indices of riskiness
  • Wiener process
  • local risk
  • risk aversion


Dive into the research topics of 'Short-term investments and indices of risk'. Together they form a unique fingerprint.

Cite this