Economic indices of absolute and relative riskiness

DOI10.1007/S00199-013-0784-9MaRDI QIDQ2249576zbMATH OpenOpenAlexFDO

Authors Amnon Schreiber

Publication date 2 July 2014

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-013-0784-9

zbMATH Keywords

absolute riskindex of riskinessrelative riskrisk aversionriskiness

Mathematics Subject Classification ID

Utility theory (91B16) Statistical methods; economic indices and measures (91B82)

Review text

In this paper riskiness depends on return rate. The author proposes a new index of relative security riskiness index which satisfies axioms given by the Aumann-Serrano axioms of riskiness [\textit{R. J. Aumann} and \textit{R. Serrano}, J. Polit. Econ. 116, No. 5, 810--836 (2008; Zbl 1341.91040)]. The proposed index is not equivalent to the absolute security riskiness index introduced by Serrano et al. Some properties of these indices are studied. Moreover, the considered riskiness indices are related to the Arrow-Pratt risk aversion. All necessary proofs are given.

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Cites work

• A wealth-requirement axiomatization of riskiness
• An economic index of riskiness
• Comparing local risks by acceptance and rejection
• On Aumann and Serrano's economic index of risk
• On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk

Cited in

(21)

• Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances
• Indexing gamble desirability by extending proportional stochastic dominance
• Riskiness in binary gambles: a geometric analysis
• Discrete Arrow-Pratt indexes for risk and uncertainty
• The relative strength index (RSI) to monitor GDP variations. Comparing regions or countries from a new perspective
• Utility indifference pricing and the Aumann-Serrano performance index
• Restricted increases in risk aversion and their application
• A global index of riskiness
• On Aumann and Serrano's economic index of risk
• Comparing local risks by acceptance and rejection
• Sub-additive recursive ``matching noise and biases in risk-weighted index calculation methods in incomplete markets with partially observable multi-attribute preferences
• The Aumann-Serrano riskiness index
• An economic index of riskiness
• Investment rankings via an objective measure of riskiness: a case study
• A wealth-requirement axiomatization of riskiness
• A new risk index
• Short-term investments and indices of risk
• A note on Aumann and Serrano's index of riskiness
• Explicit solution to the economic index of riskiness
• Relative measures of economic insecurity
• Comparative performance of cryptocurrencies through the Aumann-Serrano economic index of riskiness

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