Short‐term investments and indices of risk
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.
Year of publication: |
2020
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Authors: | Heller, Yuval ; Schreiber, Amnon |
Published in: |
Theoretical Economics. - The Econometric Society, ISSN 1933-6837, ZDB-ID 2220447-7. - Vol. 15.2020, 3, p. 891-921
|
Publisher: |
The Econometric Society |
Saved in:
Online Resource
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