Short-Term Investments and Indices of Risk
| Autor: | Yuval Heller, Amnon Schreiber |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
050208 finance
Actuarial science Risk aversion 05 social sciences risk aversion Indices of riskiness Decision problem Term (time) FOS: Economics and business D81 Wiener process Ranking Portfolio Management (q-fin.PM) Risk index 0502 economics and business Goodwill Economics ddc:330 Economics - Theoretical Economics Theoretical Economics (econ.TH) G32 local risk 050207 economics General Economics Econometrics and Finance Quantitative Finance - Portfolio Management |
| Popis: | 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 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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