Short-term investments and indices of risk

• 成果类型: Article
• 署名作者: Heller, Yuval; Schreiber, Amnon
• 署名单位: Bar Ilan University
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE3678
• 发表日期: 2020-07-01
• 页码: 891-921
• 关键词: Indices of riskiness; risk aversion; local risk; Wiener process; D81; G32

摘要

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.