Theoretical Economics, Volume 8, Number 2 ( 2013)

Theoretical Economics 8 (2013), 591–620


A wealth-requirement axiomatization of riskiness

Dean Foster, 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."

Keywords: Riskiness, gamble, risky asset, reserve, wealth

JEL classification: D81, G00, G32

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