Work

Short‐term investments and indices of risk

Year: 2020

Type: article

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.

Source: Theoretical Economics

DOI: 10.3982/te3678

Authors: Yuval Heller, Amnon Schreiber

Institutions: Bar-Ilan University, Hebrew University of Jerusalem

Language: English

Topic: Decision-Making and Behavioral Economics

Subfield: General Decision Sciences

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

Funders: European Research Council, H2020 European Research Council

Award: Evolutionary stability, observability, and efficiency