Explicit solution to the economic index of riskiness

被引：0
|
作者：
Cui, Zhenyu [1 ]
Wu, Cai [2 ,3 ]
Zhu, Lingjiong [4 ]
机构：
[1] Stevens Inst Technol, Sch Business, Hoboken, NJ 07030 USA
[2] Univ Calif Berkeley, Berkeley, CA USA
[3] Fudan Univ, Shanghai, Peoples R China
[4] Florida State Univ, Dept Math, Tallahassee, FL 32304 USA
来源：
ECONOMICS LETTERS | 2023年 / 232卷
基金：
美国国家科学基金会;
关键词：
Economic index of riskiness; General gambles; Utility; Lagrange inversion theorem; AUMANN-SERRANO INDEX; EXISTENCE;
D O I：
10.1016/j.econlet.2023.111343
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we develop an exact closed-form series expansion for the economic index of riskiness of general gambles in terms of moments information. Important special cases include the economic indexes of riskinesses proposed in Aumann and Serrano (2008); Bali et al. (2011); Foster and Hart (2009). Based on the closed-form formula, we characterize further theoretical properties for the economic index of riskiness. Numerical examples confirm the accuracy of the proposed closed-form formula.(c) 2023 Elsevier B.V. All rights reserved.
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页数：6
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