Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253482 
Year of Publication: 
2020
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 15 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2020 [Pages:] 891-921
Publisher: 
The Econometric Society, New Haven, CT
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.
Subjects: 
Indices of riskiness
risk aversion
local risk
Wiener process
JEL: 
D81
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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