An Economic Index of Riskiness
Journal of Political Economy, Volume 116, Issue 5, 2008, Pages 810-836.
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indierent between taking and not taking that gamble. We characterize this index by axioms, chief among them a "duality" axiom which, roughly speaking, asserts that less risk-averse individuals accept riskier gam...More
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