A note on Aumann and Serrano’s index of riskiness

Amnon Schreiber

Economics Letters, 2015, vol. 131, issue C, 9-11

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.

Keywords: Risk; Risk aversion; Stochastic dominance; Acceptance dominance (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:131:y:2015:i:c:p:9-11

DOI: 10.1016/j.econlet.2015.03.014

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