Advanced Search
MyIDEAS: Login

A General Index of Inherent Risk

Contents:

Author Info

  • Adi Schnytzer

    ()
    (Department of Economics and Logistics,respectively,Bar Ilan University,Israel)

  • Sara Westreich
Registered author(s):

    Abstract

    We extend the pioneering work of Aumann and Serrano by presenting an index of inherent riskiness of a gamble having the desirable properties of their index, while being applicable to gambles with either positive or negative expectations. As such, our index provides a measure of riskiness which is of use for both risk lovers and risk aversive gamblers, and is defined for all discrete and a large class of continuous gambles. We analyze abstract properties of our index, and present in addition three empirical applications - roulette, horse betting market and US options traded on financial stocks between 2005 and 2007.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.biu.ac.il/soc/ec/wp/2009-09.pdf
    File Function: Working paper
    Download Restriction: no

    Bibliographic Info

    Paper provided by Department of Economics, Bar-Ilan University in its series Working Papers with number 2009-9.

    as in new window
    Length:
    Date of creation: Apr 2009
    Date of revision:
    Handle: RePEc:biu:wpaper:2009-9

    Contact details of provider:
    Postal: Faculty of Social Sciences, Bar Ilan University 52900 Ramat-Gan
    Phone: Phone: +972-3-5318345
    Fax: +972-3-7384034
    Email:
    Web page: http://econ.biu.ac.il
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:biu:wpaper:2009-9. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Department of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.