A Wealth-Requirement Axiomatization of Riskiness
AbstractWe 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”.
Download InfoIf 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.
Bibliographic InfoPaper provided by The Center for the Study of Rationality, Hebrew University, Jerusalem in its series Discussion Paper Series with number dp577.
Length: 36 pages
Date of creation: 14 Jun 2011
Date of revision:
Other versions of this item:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G00 - Financial Economics - - General - - - General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sergiu Hart, 2011.
"Comparing Risks by Acceptance and Rejection,"
Journal of Political Economy,
University of Chicago Press, vol. 119(4), pages 617 - 638.
- Palacios-Huerta, Ignacio & Serrano, Roberto, 2006.
"Rejecting small gambles under expected utility,"
Elsevier, vol. 91(2), pages 250-259, May.
- Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer, vol. 56(2), pages 309-331, June.
- Frank Riedel & Tobias Hellmann, 2013.
"The Foster-Hart Measure of Riskiness for General Gambles,"
474, Bielefeld University, Center for Mathematical Economics.
- Hellmann, Tobias & Riedel, Frank, 0. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society.
- Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
- Hellmann, Tobias & Riedel, Frank, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79752, Verein für Socialpolitik / German Economic Association.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
- 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.
- Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
- Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilan Nehama).
If references are entirely missing, you can add them using this form.