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Short-Term Investments and Indices of Risk

Author

Listed:
  • Yuval Heller
  • Amnon Schreiber
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 CARA utility agents and normally distributed risky assets.

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  • Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.
    • Handle: RePEc:arx:papers:2005.06576
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