IDEAS home Printed from https://ideas.repec.org/p/ehu/dfaeii/10739.html
   My bibliography  Save this paper

A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures

Author

Listed:
  • Chamorro Elosua, Arritokieta
  • Usategui Díaz de Otalora, José María

Abstract

In this work we clarify the relationships between riskiness, risk acceptance and bankruptcy avoidance. We distinguish between the restriction on the current wealth required to make a gamble acceptable to the decision maker and the restriction on the current wealth required to guarantee no bankruptcy if a gamble is accepted. We focus on the measure of riskiness proposed by Foster and Hart.

Suggested Citation

  • Chamorro Elosua, Arritokieta & Usategui Díaz de Otalora, José María, 2013. "A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    • Handle: RePEc:ehu:dfaeii:10739
    as

    Download full text from publisher

    File URL: https://addi.ehu.es/handle/10810/10739
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
    2. , & ,, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
    3. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617-638.
    4. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    5. , P. & ,, 2013. "A wealth-requirement axiomatization of riskiness," Theoretical Economics, Econometric Society, vol. 8(2), May.
    6. Turan G. Bali & Nusret Cakici & Fousseni Chabi-Yo, 2011. "A Generalized Measure of Riskiness," Management Science, INFORMS, vol. 57(8), pages 1406-1423, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
    2. , & ,, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
    3. Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.
    4. Leiss, Matthias & Nax, Heinrich H., 2018. "Option-implied objective measures of market risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 241-249.
    5. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
    6. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
    7. Niu, Cuizhen & Guo, Xu & McAleer, Michael & Wong, Wing-Keung, 2018. "Theory and application of an economic performance measure of risk," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 383-396.
    8. Hellman, Ziv & Schreiber, Amnon, 2018. "Indexing gamble desirability by extending proportional stochastic dominance," Games and Economic Behavior, Elsevier, vol. 109(C), pages 523-543.
    9. Jiro Hodoshima & Toshiyuki Yamawake, 2022. "Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 171-193, June.
    10. Marilyn Pease & Mark Whitmeyer, 2024. "How to Make an Action Better," Papers 2408.09294, arXiv.org, revised Sep 2024.
    11. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    12. Ehsani, Sina & Lien, Donald, 2015. "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, vol. 15(C), pages 11-17.
    13. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
    14. Cui, Zhenyu & Wu, Cai & Zhu, Lingjiong, 2023. "Explicit solution to the economic index of riskiness," Economics Letters, Elsevier, vol. 232(C).
    15. Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara, 2020. "Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 155-174, June.
    16. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    17. Jiro Hodoshima & Toshiyuki Yamawake, 2021. "Sensitivity of Performance Indexes to Disaster Risk," Risks, MDPI, vol. 9(2), pages 1-22, February.
    18. Hodoshima, Jiro & Yamawake, Toshiyuki, 2022. "Temporal aggregation of the Aumann–Serrano and Foster–Hart performance indexes," International Review of Financial Analysis, Elsevier, vol. 83(C).
    19. Soo Hong Chew & Jacob S. Sagi, 2022. "A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 397-422, September.
    20. Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(2), pages 309-331, June.

    More about this item

    Keywords

    riskiness measure; objective measures; risk acceptance;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ehu:dfaeii:10739. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alcira Macías Redondo (email available below). General contact details of provider: https://edirc.repec.org/data/f1ehues.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.