On Aumann and Serrano's Economic Index of Risk
We study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through essentially monotonic risk aversion utilities. We also extend the domain of gambles by introducing a price for gambles. We then develop a theory on the risk index for multiplicative gambles. Relative risk aversion functions for multiplicative gambles play the same role as absolute risk aversion functions for additive gambles.
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- Robert J. Aumann & Roberto Serrano, 2006.
"An Economic Index of Riskiness,"
2006-20, Brown University, Department of Economics.
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03-10, University of Copenhagen. Department of Economics.
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- repec:hal:journl:halshs-00211906 is not listed on IDEAS
- Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005.
"More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model,"
Springer, vol. 25(3), pages 649-667, 04.
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