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An Operational Measure of Riskiness

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  • Dean P. Foster

    ()

  • Sergiu Hart

    ()

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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Bibliographic Info

Paper provided by The Center for the Study of Rationality, 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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Publication status: Published in Journal of Political Economy 117 (2009), 5, 785-814
Handle: RePEc:huj:dispap:dp454

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Cited by:
  1. Takashi Kamihigashi, 2011. "Recurrent Bubbles," The Japanese Economic Review, Japanese Economic Association, vol. 62(1), pages 27-62, 03.
  2. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2010. "Entropy and the value of information for investors," Levine's Working Paper Archive 661465000000000355, David K. Levine.
  3. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  4. Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
  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. 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".
  8. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  9. Homm, Ulrich & Pigorsch, Christian, 2012. "An operational interpretation and existence of the Aumann–Serrano index of riskiness," Economics Letters, Elsevier, vol. 114(3), pages 265-267.
  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. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
  12. Maria Demertzis, 2010. "An Operational Measure of Riskiness: A Comment," DNB Working Papers 262, Netherlands Central Bank, Research Department.
  13. Zvi Safra & Uzi Segal, 2008. "Calibration Results for Betweenness Functionals," Boston College Working Papers in Economics 683, Boston College Department of Economics.
  14. 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.
  15. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011. "Entropy and the value of information for investors," Working Papers halshs-00648884, HAL.
  16. 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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