Short‐term investments and indices of risk
研究了短期风险资产投资中的决策问题，发现所有风险厌恶者的资产排序相同，且该排序可由一个风险指数表示。
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 constant absolute risk aversion utility agents and normally distributed risky assets.