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.

中文翻译：

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短期投资和风险指数

我们研究了对收益随时间不断变化的风险资产进行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对短期风险资产的排名相同（取决于问题）。此外，在每个问题中，排名由与恒定绝对风险厌恶效用代理和正态分布风险资产情况相同的风险指数表示。