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An Operational Measure of Riskiness

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Author Info
Dean P. Foster ()
Sergiu Hart ()

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Abstract

We define the riskiness of a gamble g as that unique number R(g) such that no-bankruptcy is guaranteed if and only if one never accepts gambles whose riskiness exceeds the current wealth.

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File URL: http://www.ma.huji.ac.il/hart/abs/risk.html
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Publisher Info
Paper provided by Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem in its series Discussion Paper Series with number dp454.

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Date of creation: Jun 2007
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Handle: RePEc:huj:dispap:dp454

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  1. 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. [Downloadable!] (restricted)
  2. Zvi Safra & Uzi Segal, 2008. "Calibration Results for Betweenness Functionals," Boston College Working Papers in Economics 683, Boston College Department of Economics. [Downloadable!]
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This page was last updated on 2009-11-29.

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