Short-Term Investments and Indices of Risk
arXiv:2005.06576
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 CARA utility agents and normally distributed risky assets.
20 pages main text + 19 pages of appendices and reference list