TY  - JOUR
PY  - 2008//
TI  - An Economic Index of Riskiness
JO  - Journal of political economy
A1  - Aumann, Robert J.
A1  - Serrano, Roberto
SP  - 810
EP  - 836
VL  - 116
IS  - 5
N2  - Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom that, roughly speaking, asserts that less risk‐averse individuals accept riskier gambles. The index is positively homogeneous, continuous, and subadditive; respects first‐ and second‐order stochastic dominance; and for normally distributed gambles is half of variance/mean. Examples are calculated, additional properties are derived, and the index is compared with others.<p /> 
LA  - 
SN  - 0022-3808
UR  - http://dx.doi.org/10.1086/591947
ID  - ref1
ER  -