Riskiness for sets of gambles
Aumann--Serrano (2008) and Foster--Hart (2009) suggest two new riskiness measures, each of which enables one to elicit a complete and objective ranking of gambles according to their riskiness. Hart (2011) shows that both measures can be obtained by looking at a large set of utility functions and applying "uniform rejection criteria" to rank the gambles in accordance with this set of utilities. We use the same "uniform rejection criteria" to extend these two riskiness measures to the realm of uncertainty and develop complete and objective rankings of sets of gambles, which arise naturally in models of decision making under uncertainty.
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- Gajdos, T. & Hayashi, T. & Tallon, J.-M. & Vergnaud, J.-C., 2008.
"Attitude toward imprecise information,"
Journal of Economic Theory,
Elsevier, vol. 140(1), pages 27-65, May.
- Thibault Gajdos & Takashi Hayashi & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2008. "Attitude toward imprecise information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451982, HAL.
- Thibault Gajdos & Takashi Hayashi & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2006. "Attitude toward imprecise information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00130179, HAL.
- Thibault Gajdos & Takashi Hayashi & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2006. "Attitude toward imprecise information," Cahiers de la Maison des Sciences Economiques v06081, Université Panthéon-Sorbonne (Paris 1).
- Sergiu Hart, 2011.
"Comparing Risks by Acceptance and Rejection,"
Journal of Political Economy,
University of Chicago Press, vol. 119(4), pages 617 - 638.
- Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- repec:bla:restud:v:74:y:2007:i:2:p:567-595 is not listed on IDEAS
- Jörg Stoye, 2011. "Statistical decisions under ambiguity," Theory and Decision, Springer, vol. 70(2), pages 129-148, February.
- Wojciech Olszewski, 2007. "Preferences Over Sets of Lotteries -super-1," Review of Economic Studies, Oxford University Press, vol. 74(2), pages 567-595.
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