Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Management Science 57 (2011) 8, pp. 1406-1423
This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810-836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure...