A note on Aumann and Serrano's index of riskiness

Amnon Schreiber

doi:10.1016/j.econlet.2015.03.014

A note on Aumann and Serrano's index of riskiness

Amnon Schreiber

Department of Economics

Bar-Ilan University

Research output: Contribution to journal › Article › peer-review

Abstract

We present a new implication of Aumann and Serrano's (2008) index of riskiness for decision makers: if one gamble is riskier than another gamble, decision makers whose initial wealth level is above a certain threshold, and who reject the less risky gamble, will also reject the riskier one. A similar (but not identical) result is shown for multiplicative gambles.

Original language	English
Pages (from-to)	9-11
Number of pages	3
Journal	Economics Letters
Volume	131
DOIs	https://doi.org/10.1016/j.econlet.2015.03.014
State	Published - 1 Jun 2015

Keywords

Acceptance dominance
Risk
Risk aversion
Stochastic dominance

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2015.03.014

Cite this

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KW - Risk aversion

KW - Stochastic dominance

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A note on Aumann and Serrano's index of riskiness

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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