Heller, Yuval and Schreiber, Amnon (2019): ShortTerm Investments and Indices of Risk. Forthcoming in: Theoretical Economics No. forthcoming
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Abstract
We study various decision problems regarding shortterm investments in risky assets whose returns evolve continuously in time. We show that in each problem, all riskaverse decision makers have the same (problemdependent) ranking over shortterm 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.
Item Type:  MPRA Paper 

Original Title:  ShortTerm Investments and Indices of Risk 
Language:  English 
Keywords:  Indices of riskiness, risk aversion, local risk, Wiener process. 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill 
Item ID:  96966 
Depositing User:  Yuval Heller 
Date Deposited:  14 Nov 2019 15:39 
Last Modified:  14 Nov 2019 15:39 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/96966 
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