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A global index of riskiness

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  • Schnytzer, Adi
  • Westreich, Sara
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    Abstract

    We extend the pioneering work of Aumann–Serrano by presenting an index of riskiness for gambles with either positive or negative expectations. It can be of use for a variety of abstract behaviors, when adapting the framework of either Expected-Utility Theory or Prospect Theory.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176512006544
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 118 (2013)
    Issue (Month): 3 ()
    Pages: 493-496

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    Handle: RePEc:eee:ecolet:v:118:y:2013:i:3:p:493-496

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Expected Utility Theory; Prospect theory; Utility functions; Value functions; Index of riskiness; Duality axiom;

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    1. Robert J. Aumann & Roberto Serrano, 2006. "An Economic Index of Riskiness," Levine's Bibliography 321307000000000585, UCLA Department of Economics.
    2. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617 - 638.
    3. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    4. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279.
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