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Riskiness for sets of gambles

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  • Moti Michaeli

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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    1. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
    2. Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara, 2020. "Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 155-174, June.
    3. , P. & ,, 2013. "A wealth-requirement axiomatization of riskiness," Theoretical Economics, Econometric Society, vol. 8(2), May.
    4. 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.
    5. Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.

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    More about this item

    Keywords

    Riskiness measures; Decision under uncertainty; Risk and uncertainty; Sets of gambles; D81;
    All these keywords.

    JEL classification:

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

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