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Riskiness for sets of gambles

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  • Moti Michaeli

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Abstract

Aumann–Serrano (J Polit Econ 116:810–836, 2008 ) and Foster–Hart (J Polit Econ 117:785–814, 2009 ) suggest two new riskiness measures, each of which enables one to elicit a complete and objective ranking of gambles according to their riskiness. These riskiness measures were created with a risky world in mind, but not an uncertain one. We apply similar arguments to models of decision under uncertainty and develop complete and objective rankings of sets of gambles, which arise naturally in many such models. Clearly, these results extend the previous riskiness measures, and they have a natural interpretation in terms of those measures even when uncertainty does play a significant role. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • 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.
  • Handle: RePEc:spr:joecth:v:56:y:2014:i:3:p:515-547
    DOI: 10.1007/s00199-014-0802-6
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    References listed on IDEAS

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    Cited by:

    1. Foster, Dean P. & Hart, Sergiu, 2013. "A wealth-requirement axiomatization of riskiness," Theoretical Economics, Econometric Society, vol. 8(2), May.
    2. 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.

    More about this item

    Keywords

    Riskiness measures; Decision under uncertainty; Risk and uncertainty; Sets of gambles; D81;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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