A Wealth-Requirement Axiomatization of Riskiness
Dean P. Foster and Sergiu Hart
Abstract
We provide an axiomatic characterization of the measure of riskiness of
gambles (risky assets) introduced by Foster
and Hart
(2009). The axioms are based on the concept of "wealth requirement".
-
First version (titled "A Reserve-Based Axiomatization of the Measure of
Riskiness"), December 2007
-
Theoretical Economics 8 (2013), 591-620
See also:
Last modified:
© Sergiu Hart