On Aumann and Serrano's Economic Index of Risk
AbstractWe study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through essentially monotonic risk aversion utilities. We also extend the domain of gambles by introducing a price for gambles. We then develop a theory on the risk index for multiplicative gambles. Relative risk aversion functions for multiplicative gambles play the same role as absolute risk aversion functions for additive gambles.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 47466.
Date of creation: 2013
Date of revision:
Risk index Attractiveness index Duality Additive gambles Multiplicative gambles;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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