Economic indices of absolute and relative riskiness
AbstractFollowing Aumann and Serrano (J Polit Econ 116:810–836, 2008 ) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and risk aversion, but while the index of absolute riskiness refers to absolute risk aversion, the index of relative riskiness refers to relative risk aversion. The similarities and differences between the two indices are studied. Copyright Springer-Verlag Berlin Heidelberg 2014
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 56 (2014)
Issue (Month): 2 (June)
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Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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