Riskiness for sets of gambles

Moti Michaeli

Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem

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.

Pages: 34 pages
Date: 2012-03
New Economics Papers: this item is included in nep-mic and nep-upt
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Citations: View citations in EconPapers (2)

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Journal Article: Riskiness for sets of gambles (2014)
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