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Economic indices of absolute and relative riskiness

  • Amnon Schreiber

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    Following Aumann and Serrano (J Polit Econ 116:810–836, 2008 ) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and risk aversion, but while the index of absolute riskiness refers to absolute risk aversion, the index of relative riskiness refers to relative risk aversion. The similarities and differences between the two indices are studied. Copyright Springer-Verlag Berlin Heidelberg 2014

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    File URL: http://hdl.handle.net/10.1007/s00199-013-0784-9
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    Article provided by Springer & Society for the Advancement of Economic Theory (SAET) in its journal Economic Theory.

    Volume (Year): 56 (2014)
    Issue (Month): 2 (June)
    Pages: 309-331

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    Handle: RePEc:spr:joecth:v:56:y:2014:i:2:p:309-331
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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    2. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617 - 638.
    3. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Oxford University Press, vol. 36(3), pages 335-346.
    4. Dean P. Foster & Sergiu Hart, 2007. "An Operational Measure of Riskiness," Discussion Paper Series dp454, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    5. Robert J. Aumann & Roberto Serrano, 2006. "An Economic Index of Riskiness," Levine's Bibliography 321307000000000585, UCLA Department of Economics.
    6. Minqiang Li, 2014. "On Aumann and Serrano’s economic index of risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 415-437, February.
    7. Dean P. Foster & Sergiu Hart, 2011. "A Wealth-Requirement Axiomatization of Riskiness," Discussion Paper Series dp577, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    8. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
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