Short-Term Investments and Indices of Risk

Theoretical Economics (Forthcoming)

39 Pages Posted: 6 Sep 2019 Last revised: 13 Nov 2019

See all articles by Yuval Heller

Yuval Heller

Bar Ilan University

Amnon Schreiber

Hebrew University of Jerusalem; Bar-Ilan University - Department of Economics

Date Written: November 13, 2019

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 of these problems, the ranking is represented by the same risk index as in the case of CARA utility agents and normally distributed risky assets.

Keywords: Indices of riskiness, risk aversion, local risk, Wiener process

JEL Classification: D81, G32

Suggested Citation

Heller, Yuval and Schreiber, Amnon, Short-Term Investments and Indices of Risk (November 13, 2019). Theoretical Economics (Forthcoming). Available at SSRN: https://ssrn.com/abstract=3445311 or http://dx.doi.org/10.2139/ssrn.3445311

Yuval Heller (Contact Author)

Bar Ilan University ( email )

Dept. of Economics, Building 504
Bar Ilan University
Ramat Gan, 5290002
Israel
+972 5252 82182 (Phone)

HOME PAGE: http://https://sites.google.com/site/yuval26/

Amnon Schreiber

Hebrew University of Jerusalem ( email )

Mount Scopus
Jerusalem, IL Jerusalem 91905
Israel

Bar-Ilan University - Department of Economics ( email )

Ramat-Gan, 52900
Israel

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