A wealth-requirement axiomatization of riskiness

Dean P. Foster · Sergiu Hart A

20 citations0/0 files storedTheoretical Economics

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Decision-Making and Behavioral Economics Economic theories and models Risk and Portfolio Optimization

Abstract

We provide an axiomatic characterization of the measure of riskiness of gambles (risky assets) introduced by Foster and Hart (2009). The axioms are based on the concept of “wealth requirement.”

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References

1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1972Essays in the Theory of Risk-Bearing.1966Aspects of the Theory of Risk-Bearing.2008An Economic Index of Riskiness 1969Some remarks on measures of risk aversion and on their uses 2009An Operational Measure of Riskiness 2006Rejecting small gambles under expected utility

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