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Riskiness for sets of gambles

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  • Moti Michaeli

Abstract

Aumann--Serrano (2008) and Foster--Hart (2009) suggest two new riskiness measures, each of which enables one to elicit a complete and objective ranking of gambles according to their riskiness. Hart (2011) shows that both measures can be obtained by looking at a large set of utility functions and applying "uniform rejection criteria" to rank the gambles in accordance with this set of utilities. We use the same "uniform rejection criteria" to extend these two riskiness measures to the realm of uncertainty and develop complete and objective rankings of sets of gambles, which arise naturally in models of decision making under uncertainty.

Suggested Citation

  • Moti Michaeli, 2012. "Riskiness for sets of gambles," Discussion Paper Series dp603, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    • Handle: RePEc:huj:dispap:dp603
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    1. , P. & ,, 2013. "A wealth-requirement axiomatization of riskiness," Theoretical Economics, Econometric Society, vol. 8(2), May.
    2. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
    3. 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.
    4. 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.
    5. Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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