An Operational Measure of Riskiness

Citation:

Hart, D. P. F., & Sergiu, . (2007). An Operational Measure of Riskiness. Discussion Papers. presented at the 6, Journal of Political Economy 117 (2009), 5, 785-814. Retrieved from http://www.ma.huji.ac.il/hart/abs/risk.html?

Abstract:

We define the riskiness of a gamble g as that unique number R(g) such that no-bankruptcy is guaranteed if and only if one never accepts gambles whose riskiness exceeds the current wealth.

Publisher's Version

Last updated on 01/11/2023