An Operational Measure of Riskiness

Authors: 
Dean P. Foster and Sergiu Hart
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.

Date: 
June, 2007
Published in: 
Journal of Political Economy 117 (2009), 5, 785-814
Number: 
454