Aumann and Serrano’s economic index of risk for sums of gambles
We study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is alw...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2014-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2014.921574 |