A global index of riskiness

We extend the pioneering work of Aumann–Serrano by presenting an index of riskiness for gambles with either positive or negative expectations. It can be of use for a variety of abstract behaviors, when adapting the framework of either Expected-Utility Theory or Prospect Theory.

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Year of publication:	2013
Authors:	Schnytzer, Adi ; Westreich, Sara
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 3, p. 493-496
Publisher:	Elsevier
Subject:	Expected Utility Theory \| Prospect theory \| Utility functions \| Value functions \| Index of riskiness \| Duality axiom

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Type of publication:	Article
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

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