A wealth-requirement axiomatization of riskiness
AbstractWe provide an axiomatic characterization of the measure of riskiness of gambles (risky assets) introduced by Foster and Hart (2009). The axioms are based on the concept of "wealth requirement."
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Bibliographic InfoArticle provided by Econometric Society in its journal Theoretical Economics.
Volume (Year): 8 (2013)
Issue (Month): 2 (May)
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Web page: http://econtheory.org
Riskiness; gamble; risky asset; reserve; wealth;
Other versions of this item:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G00 - Financial Economics - - General - - - General
- 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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- Sergiu Hart, 2010.
"Comparing Risks by Acceptance and Rejection,"
Discussion Paper Series
dp531, The Center for the Study of Rationality, Hebrew University, Jerusalem.
- Palacios-Huerta, Ignacio & Serrano, Roberto, 2006.
"Rejecting small gambles under expected utility,"
Elsevier, vol. 91(2), pages 250-259, May.
- Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
- Hellmann, Tobias & Riedel, Frank, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79752, Verein für Socialpolitik / German Economic Association.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
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