Articlediamond2020

Short‐term investments and indices of risk

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Decision-Making and Behavioral Economics Stochastic processes and financial applications Risk and Portfolio Optimization

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.

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References

1973The Pricing of Options and Corporate Liabilities 1999Coherent Measures of Risk 1985A Theory of the Term Structure of Interest Rates 1959Portfolio Selection: Efficient Diversification of Investments 1964Risk Aversion in the Small and in the Large 1972Essays in the Theory of Risk-Bearing.1987The Pricing of Options on Assets with Stochastic Volatilities 1969The Efficiency Analysis of Choices Involving Risk

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