Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining … riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

avoids bankruptcy in the long run. It is not time-consistent. …

In this paper I analyze operational measure of riskiness defi ned by Foster and Hart (2007). I give simple intuition … measure based on decreasing absolute risk aversion utility function. I derive necessary and suffi cient conditions for …

We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk … market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the … probability distributions defines a novel template for equilibria under uncertainty and, more specifically, equilibria under risk …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk … measure (UrM) which explicitly embeds relative valuation of any two assets. The formal theory shows the UrM is, in relation to … theoretical predictions and empirical tests of the formal theory show robustness of the UrM to investment decision making is …