Open AccessShort‐term investments and indices of risk
Author(s) -
Heller Yuval,
Schreiber Am
Publication year - 2020
Publication title -
theoretical economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.404
H-Index - 32
eISSN - 1555-7561
pISSN - 1933-6837
DOI - 10.3982/te3678
Subject(s) - term (time) , ranking (information retrieval) , risk aversion (psychology) , index (typography) , constant (computer programming) , expected utility hypothesis , economics , decision problem , actuarial science , econometrics , microeconomics , computer science , financial economics , physics , quantum mechanics , machine learning , world wide web , programming language
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.