An Operational Measure of Riskiness

Dean P. Foster and Sergiu Hart


   
(Acrobat PDF files)


Abstract
We propose a measure of riskiness of "gambles" (risky assets) that is objective: it depends only on the gamble and not on the decision-maker. The measure is based on identifying for every gamble the critical wealth level below which it becomes "risky" to accept the gamble.

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© Sergiu Hart