A Wealth-Requirement Axiomatization of Riskiness

Authors: 
Dean P. Foster & Sergiu Hart
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”.

Date: 
June, 2011
Published in: 
Number: 
577