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arxiv: 2005.06576 · v1 · pith:2SN3ZYDInew · submitted 2020-05-13 · 💱 q-fin.PM · econ.TH

Short-Term Investments and Indices of Risk

classification 💱 q-fin.PM econ.TH
keywords assetsriskyshort-termdecisioninvestmentsproblemrankingrisk
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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.

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