An Operational Measure of Riskiness
Dean P. Foster and Sergiu Hart
Abstract
We propose a measure of riskiness of "gambles" (risky assets) that
is objective: it depends only on the gamble and not on the
decision-maker. The measure is based on
identifying for every gamble the critical wealth
level below which it becomes "risky" to accept the gamble.
- Journal of Political Economy
117 (2009), 5, 785-814
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© Sergiu Hart