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Riskiness in binary gambles: A geometric analysis

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  • Usategui, José M.

Abstract

The orderings of binary gambles under the index of riskiness analyzed by Aumann and Serrano and under the measure of riskiness proposed by Foster and Hart are studied and compared. To proceed the properties of the curves that include gambles with the same level of riskiness are analyzed for each of those measures and such curves are represented geometrically.

Suggested Citation

  • Usategui, José M., 2017. "Riskiness in binary gambles: A geometric analysis," Economics Letters, Elsevier, vol. 159(C), pages 149-152.
    • Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:149-152
    DOI: 10.1016/j.econlet.2017.07.025
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    References listed on IDEAS

    as
    1. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
    2. , & ,, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
    3. Dean P. Foster & Sergiu Hart, 2009. "An Operational Measure of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 785-814.
    4. Schulze, Klaas, 2014. "Existence and computation of the Aumann–Serrano index of riskiness and its extension," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 219-224.
    5. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Riskiness; Binary gambles; Ordering of gambles;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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