The Foster-Hart measure of riskiness for general gambles

DOI10.3982/TE1499zbMath1395.91130arXiv1301.1471MaRDI QIDQ4586078

Tobias Hellmann, Frank Riedel

Publication date: 11 September 2018

Published in: Theoretical Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1471

zbMATH Keywords

risk measuresbankruptcycontinuous random variable

Mathematics Subject Classification ID

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

Related Items (7)

The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation ⋮ Comparing dynamic and static performance indexes in the stock market: evidence from Japan ⋮ Explicit solution to the economic index of riskiness ⋮ Foster-Hart optimization for currency portfolios ⋮ Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan ⋮ Riskiness in binary gambles: a geometric analysis ⋮ A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness

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