Short-term investments and indices of risk

被引：1

作者：

Heller, Yuval ^{[1
]}

Schreiber, Amnon ^{[1
]}

机构：

[1] Bar Ilan Univ, Dept Econ, Ramat Gan, Israel

来源：

THEORETICAL ECONOMICS | 2020年 / 15卷 / 03期

基金：

欧洲研究理事会;

关键词：

Indices of riskiness; risk aversion; local risk; Wiener process; D81; G32; MEAN-VARIANCE ANALYSIS; AUMANN-SERRANO INDEX; RISKINESS; EXISTENCE; OPTIONS;

D O I：

10.3982/TE3678

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：891 / 921

页数：31

共 47 条

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