Short-term investments and indices of risk

Yuval Heller and Amnon Schreiber ()
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Amnon Schreiber: Department of Economics, Bar Ilan University

Theoretical Economics, 2020, vol. 15, issue 3

Abstract: 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.

Keywords: Indices of riskiness; risk aversion; local risk; Wiener process (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2020-07-03
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Related works:
Working Paper: Short-Term Investments and Indices of Risk (2019)
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