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A Wealth-Requirement Axiomatization of Riskiness

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  • Dean P. Foster

    ()

  • Sergiu Hart

    ()

Abstract

We 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”.

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File URL: http://www.ma.huji.ac.il/hart/abs/risk-ax.html
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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 dp577.

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Length: 36 pages
Date of creation: 14 Jun 2011
Date of revision:
Handle: RePEc:huj:dispap:dp577

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  1. Palacios-Huerta, Ignacio & Serrano, Roberto, 2006. "Rejecting small gambles under expected utility," Economics Letters, Elsevier, vol. 91(2), pages 250-259, May.
  2. Sergiu Hart, 2010. "Comparing Risks by Acceptance and Rejection," Discussion Paper Series dp531, The Center for the Study of Rationality, Hebrew University, Jerusalem.
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Cited by:
  1. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  2. 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.
  3. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  4. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  5. 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.

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