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Riskiness for sets of gambles

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  • Moti Michaeli
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    Abstract

    Aumann--Serrano (2008) and Foster--Hart (2009) suggest two new riskiness measures, each of which enables one to elicit a complete and objective ranking of gambles according to their riskiness. Hart (2011) shows that both measures can be obtained by looking at a large set of utility functions and applying "uniform rejection criteria" to rank the gambles in accordance with this set of utilities. We use the same "uniform rejection criteria" to extend these two riskiness measures to the realm of uncertainty and develop complete and objective rankings of sets of gambles, which arise naturally in models of decision making under uncertainty.

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    File URL: http://ratio.huji.ac.il/sites/default/files/publications/dp603.pdf
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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 dp603.

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    Length: 34 pages
    Date of creation: Mar 2012
    Date of revision:
    Handle: RePEc:huj:dispap:dp603

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    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.:
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    1. Wojciech Olszewski, 2007. "Preferences Over Sets of Lotteries -super-1," Review of Economic Studies, Oxford University Press, vol. 74(2), pages 567-595.
    2. Sergiu Hart, 2010. "Comparing Risks by Acceptance and Rejection," Discussion Paper Series dp531, The Center for the Study of Rationality, Hebrew University, Jerusalem.
    3. repec:hal:cesptp:halshs-00130179 is not listed on IDEAS
    4. Thibault Gajdos & Takashi Hayashi & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2006. "Attitude toward imprecise information," Cahiers de la Maison des Sciences Economiques v06081, Université Panthéon-Sorbonne (Paris 1).
    5. repec:bla:restud:v:74:y:2007:i:2:p:567-595 is not listed on IDEAS
    6. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Center for the Study of Rationality, Hebrew University, Jerusalem.
    7. Jörg Stoye, 2011. "Statistical decisions under ambiguity," Theory and Decision, Springer, vol. 70(2), pages 129-148, February.
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