论文标题
短期投资和风险指数
Short-Term Investments and Indices of Risk
论文作者
论文摘要
我们研究有关及时及时发展的风险资产短期投资的各种决策问题。我们表明，在每个问题中，所有规避风险的决策者在短期风险资产中的排名相同（依赖问题）。此外，在每个问题中，排名由与CARA公用事业代理相同的风险指数和正态分布的风险资产表示。
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.
