An Operational Measure of Riskiness

@inproceedings{Foster2017AnOM,
  title={An Operational Measure of Riskiness},
  author={Dean P. Foster and Sergiu Hart},
  year={2017}
}
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. Disciplines Statistical Theory | Statistics and Probability This journal article is available at ScholarlyCommons: http://repository.upenn.edu/statistics_papers/211 785 [ Journal of Political Economy, 2009, vol. 117, no. 5… CONTINUE READING

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