Explicit solution to the economic index of riskiness

Zhenyu Cui, Cai Wu and Lingjiong Zhu

Economics Letters, 2023, vol. 232, issue C

Abstract: In this paper, we develop an exact closed-form series expansion for the economic index of riskiness of general gambles in terms of moments information. Important special cases include the economic indexes of riskinesses proposed in Aumann and Serrano (2008); Bali et al. (2011); Foster and Hart (2009). Based on the closed-form formula, we characterize further theoretical properties for the economic index of riskiness. Numerical examples confirm the accuracy of the proposed closed-form formula.

Keywords: Economic index of riskiness; General gambles; Utility; Lagrange inversion theorem (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003683

DOI: 10.1016/j.econlet.2023.111343

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