On Aumann and Serrano's Economic Index of Risk

36 Pages Posted: 4 Apr 2013

Multiple version iconThere are 2 versions of this paper

Date Written: April 2, 2008

Abstract

We study the risk index of an additive gamble proposed in Aumann and Serrano (2008). We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through essentially monotonic risk aversion utilities. We also extend the domain of gambles by introducing a price for gambles. We then develop a theory on the risk index for multiplicative gambles. Relative risk aversion functions for multiplicative gambles play the same role as absolute risk aversion functions for additive gambles.

Keywords: Risk index, Attractiveness index, Duality, Additive gambles, Multiplicative gambles

JEL Classification: C00, D80, D81

Suggested Citation

Li, Minqiang, On Aumann and Serrano's Economic Index of Risk (April 2, 2008). Available at SSRN: https://ssrn.com/abstract=2243636 or http://dx.doi.org/10.2139/ssrn.2243636

Minqiang Li (Contact Author)

Bloomberg LP ( email )

731 Lexington Avenue
New York, NY 10022
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
55
Abstract Views
450
rank
435,684
PlumX Metrics