Short-Term Investments and Indices of Risk

Yuval Heller and Amnon Schreiber

MPRA Paper from University Library of Munich, Germany

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 of these problems, 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: 2019-08-30
New Economics Papers: this item is included in nep-cfn, nep-ore and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/95791/1/MPRA_paper_95791.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/96966/1/MPRA_paper_96966.pdf revised version (application/pdf)

Related works:
Journal Article: Short-term investments and indices of risk (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95791

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().