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An Operational Measure of Riskiness

  • Dean P. Foster

    ()

  • Sergiu Hart

    ()

We define the riskiness of a gamble g as that unique number R(g) such that no-bankruptcy is guaranteed if and only if one never accepts gambles whose riskiness exceeds the current wealth.

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Paper provided by The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem in its series Discussion Paper Series with number dp454.

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Date of creation: Jun 2007
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Publication status: Published in Journal of Political Economy 117 (2009), 5, 785-814
Handle: RePEc:huj:dispap:dp454
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