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Economic indices of absolute and relative riskiness


  • Amnon Schreiber



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

Suggested Citation

  • Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(2), pages 309-331, June.
  • Handle: RePEc:spr:joecth:v:56:y:2014:i:2:p:309-331 DOI: 10.1007/s00199-013-0784-9

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    References listed on IDEAS

    1. Moti Michaeli, 2014. "Riskiness for sets of gambles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 515-547, August.
    2. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
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    5. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617-638.
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    7. 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.
    8. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    9. Hart, Sergiu & Foster, Dean P., 2013. "A wealth-requirement axiomatization of riskiness," Theoretical Economics, Econometric Society, vol. 8(2), May.
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    Cited by:

    1. repec:spr:joecth:v:64:y:2017:i:1:d:10.1007_s00199-016-0978-z is not listed on IDEAS
    2. Ehsani, Sina & Lien, Donald, 2015. "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, vol. 15(C), pages 11-17.
    3. Cuizhen Niu & Xu Guo & Wing-Keung Wong & Michael McAleer, 2017. "Theory and Application of an Economic Performance Measure of Risk," Documentos de Trabajo del ICAE 2017-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2017. "Restricted increases in risk aversion and their application," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 161-181, June.
    5. Schreiber, Amnon, 2015. "A note on Aumann and Serrano’s index of riskiness," Economics Letters, Elsevier, vol. 131(C), pages 9-11.

    More about this item


    Riskiness; Risk aversion; Index of riskiness; Absolute risk; Relative risk; D81; G32;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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