On Aumann and Serrano's economic index of risk

DOI10.1007/S00199-013-0753-3zbMATH Open1327.91026OpenAlexW3121615545MaRDI QIDQ2447148FDOQ2447148

Authors Minqiang Li

Publication date 24 April 2014

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/47466/1/MPRA_paper_47466.pdf

zbMATH Keywords

dualityrisk indexadditive gamblesattractiveness indexmultiplicative gambles

Mathematics Subject Classification ID

Decision theory (91B06) Statistical methods; economic indices and measures (91B82) Utility theory (91B16)

Recommendations

• An economic index of riskiness
• A note on Aumann and Serrano's index of riskiness
• A global index of riskiness
• Existence and computation of the Aumann-Serrano index of riskiness and its extension
• Economic indices of absolute and relative riskiness

Cites work

• scientific article; zbMATH DE number 3014822 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• A generalization of Hölder's inequality and some probability inequalities
• An Alternative Characterization of Decreasing Absolute Risk Aversion
• An economic index of riskiness
• An indistinguishability result on rationalizability under general preferences
• Coherent measures of risk
• Is there a plausible theory for decision under risk? A dual calibration critique
• Monotone risk aversion
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• On the spatial representation of preference profiles
• Risk Aversion in the Small and in the Large
• Some Concepts of Dependence

Cited in

(10)

• An operational interpretation and existence of the Aumann-Serrano index of riskiness
• A global index of riskiness
• Aumann-Serrano index of risk in portfolio optimization
• An economic index of riskiness
• Existence and computation of the Aumann-Serrano index of riskiness and its extension
• Explicit solution to the economic index of riskiness
• A note on Aumann and Serrano's index of riskiness
• Utility indifference pricing and the Aumann-Serrano performance index
• Economic indices of absolute and relative riskiness
• Indexing gamble desirability by extending proportional stochastic dominance

This page was built for publication: On Aumann and Serrano's economic index of risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2447148)