A wealth-requirement axiomatization of riskiness

DOI10.3982/TE1150MaRDI QIDQ4585984zbMATH OpenFDO

Authors Dean P. Foster, Sergiu Hart

Publication date 11 September 2018

Published in Theoretical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/TE1150

zbMATH Keywords

gamblereserveriskinessrisky assetwealth

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60) Decision theory (91B06)

Recommendations

• An economic index of riskiness
• Riskiness for sets of gambles
• The Foster-Hart measure of riskiness for general gambles
• A note on Aumann and Serrano's index of riskiness
• Economic indices of absolute and relative riskiness

Cites work

• An Alternative Characterization of Decreasing Absolute Risk Aversion
• An economic index of riskiness
• Economic indices of absolute and relative riskiness
• On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
• Rejecting small gambles under expected utility
• Risk Aversion in the Small and in the Large
• Riskiness for sets of gambles

Cited in

(6)

• 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
• The axiomatic basis of risk-value models
• Economic indices of absolute and relative riskiness
• On the measurement of economic tail risk
• The Foster-Hart measure of riskiness for general gambles

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