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Explicit solution to the economic index of riskiness

Author

Listed:
  • Cui, Zhenyu
  • Wu, Cai
  • Zhu, Lingjiong

Abstract

In this paper, we develop an exact closed-form series expansion for the economic index of riskiness of general gambles in terms of moments information. Important special cases include the economic indexes of riskinesses proposed in Aumann and Serrano (2008); Bali et al. (2011); Foster and Hart (2009). Based on the closed-form formula, we characterize further theoretical properties for the economic index of riskiness. Numerical examples confirm the accuracy of the proposed closed-form formula.

Suggested Citation

  • Cui, Zhenyu & Wu, Cai & Zhu, Lingjiong, 2023. "Explicit solution to the economic index of riskiness," Economics Letters, Elsevier, vol. 232(C).
    • Handle: RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003683
    DOI: 10.1016/j.econlet.2023.111343
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