Short-Term Investments and Indices of Risk

• Tác giả: Yuval Heller, Amnon Schreiber
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.632 Securities, real estate, commodities
• Thông tin xuất bản: 2020
• Bộ sưu tập: Báo, Tạp chí
• ID: 164415

Tóm tắt

Comment: 20 pages main text + 19 pages of appendices and reference listWe 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.