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A wealth-requirement axiomatization of riskiness

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Author Info

  • Hart, Sergiu

    ()
    (Center for Rationality, Hebrew University of Jerusalem)

  • Foster, Dean P.

    ()
    (Department of Statistics, Wharton, University of Pennsylvania)

Abstract

We 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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File URL: http://econtheory.org/ojs/index.php/te/article/viewFile/20130591/8789/279
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Bibliographic Info

Article provided by Econometric Society in its journal Theoretical Economics.

Volume (Year): 8 (2013)
Issue (Month): 2 (May)
Pages:

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Handle: RePEc:the:publsh:1150

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Web page: http://econtheory.org

Related research

Keywords: Riskiness; gamble; risky asset; reserve; wealth;

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References

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  1. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617 - 638.
  2. Ignacio Palacios-Huerta & Roberto Serrano & Oscar Volij, 2003. "Rejecting Small Gambles Under Expected Utility," Economics Working Papers 0032, Institute for Advanced Study, School of Social Science.
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Cited by:
  1. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  2. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  3. Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Working Papers 474, Bielefeld University, Center for Mathematical Economics.
  4. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  5. Chamorro Elosua, Arritokieta & Usategui Díaz de Otalora, José María, . "A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures," DFAEII Working Papers DFAEII;2013-04, University of the Basque Country - Department of Foundations of Economic Analysis II.

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