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General dual measures of riskiness

Klaas Schulze ()

Theory and Decision, 2015, vol. 78, issue 2, 289-304

Abstract: Aumann and Serrano (J Political Econ 116(5):810–836, 2008 ) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and a construction method, which is used to analyze concrete dual measures. Moreover, this paper aims to extend this characterization to the most general setting. Compared with Aumann and Serrano ( 2008 ), it, therefore, relaxes the axiom of positive homogeneity, and allows for risk-neutral and risk-seeking agents, as well as for all integrable gambles. Copyright Springer Science+Business Media New York 2015

Keywords: Risk measures; Duality; Riskiness; Expected utility; Decision-making under risk (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11238-014-9421-8

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