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...

Following Aumann and Serrano (J Polit Econ 116:810–836, <CitationRef CitationID="CR2">2008</CitationRef>) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and...</citationref>