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An Operational Measure of Riskiness

Author

Listed:
  • Dean P. Foster

  • Sergiu Hart

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:huj:dispap:dp454
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    File URL: http://www.ma.huji.ac.il/hart/abs/risk.html
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