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An Operational Measure of Riskiness

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Author Info

  • Dean Foster
  • Sergiu Hart

Abstract

We propose a measure of riskiness of “gambles” (risky assets) that is objective: it depends only on the gamble and not on the decision maker. The measure is based on identifying for every gamble the critical wealth level below which it becomes “risky” to accept the gamble.

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File URL: http://www.ma.huji.ac.il/hart/abs/risk.html
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Bibliographic Info

Paper provided by UCLA Department of Economics in its series Levine's Bibliography with number 843644000000000095.

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Date of creation: 22 Jul 2007
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Handle: RePEc:cla:levrem:843644000000000095

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Web page: http://www.dklevine.com/

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Cited by:
  1. Citci, Haluk & Inci, Eren, 2012. "The Masquerade Ball of the CEOs and the Mask of Excessive Risk," MPRA Paper 35979, University Library of Munich, Germany.
  2. Takashi Kamihigashi, 2011. "Recurrent Bubbles," The Japanese Economic Review, Japanese Economic Association, vol. 62(1), pages 27-62, 03.
  3. Zvi Safra & Uzi Segal, 2008. "Calibration Results for Betweenness Functionals," Boston College Working Papers in Economics 683, Boston College Department of Economics.
  4. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2010. "Entropy and the value of information for investors," Levine's Working Paper Archive 661465000000000355, David K. Levine.
  5. Zvi Safra & Uzi Segal, 2009. "Risk aversion in the small and in the large: Calibration results for betweenness functionals," Journal of Risk and Uncertainty, Springer, vol. 38(1), pages 27-37, February.
  6. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010. "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010 2010-07, Department of Economics, University of St. Gallen.
  7. Maria Demertzis, 2010. "An Operational Measure of Riskiness: A Comment," DNB Working Papers 262, Netherlands Central Bank, Research Department.
  8. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," Business Economics Working Papers id-13-01, Universidad Carlos III, Instituto sobre Desarrollo Empresarial "Carmen Vidal Ballester".
  9. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011. "Entropy and the value of information for investors," Working Papers halshs-00648884, HAL.
  10. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  11. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2011. "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," Business Economics Working Papers id-11-04, Universidad Carlos III, Instituto sobre Desarrollo Empresarial "Carmen Vidal Ballester".

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