Economic indices of absolute and relative riskiness |
| |
Authors: | Amnon Schreiber |
| |
Institution: | 1. Department of Economics and the Center for the Study of Rationality, Hebrew University of Jerusalem, Jerusalem, Israel 2. Department of Economics, Bar Ilan University, 52900?, Ramat Gan, Israel
|
| |
Abstract: | Following Aumann and Serrano (J Polit Econ 116:810–836, 2008) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and risk aversion, but while the index of absolute riskiness refers to absolute risk aversion, the index of relative riskiness refers to relative risk aversion. The similarities and differences between the two indices are studied. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|