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Short‐term investments and indices of risk

Short-term investments and indices of risk
descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2019Embargo end date: 01 May 2020 English Publisher:The Econometric SocietyJournal:Theoretical Economics, volume 15, pages 891-921 (issn: 1933-6837, Copyright policy )Funded by:EC | Observable Stability
Authors: Heller, Yuval; Schreiber, Amnon;

doi: 10.3982/te3678 , 10.2139/ssrn.3445311 , 10.48550/arxiv.2005.06576

arXiv: 2005.06576

handle: 10419/253482

Short‐term investments and indices of risk

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 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.

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Keywords

ddc:330, risk aversion, Indices of riskiness, Decision theory, D81, Wiener process, FOS: Economics and business, Portfolio theory, Portfolio Management (q-fin.PM), indices of riskiness, Economics - Theoretical Economics, Theoretical Economics (econ.TH), G32, local risk, Quantitative Finance - Portfolio Management

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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gold