Economic indices of absolute and relative riskiness

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Abstract

Following Aumann and Serrano (J Polit Econ 116:810-836, 2008) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and risk aversion, but while the index of absolute riskiness refers to absolute risk aversion, the index of relative riskiness refers to relative risk aversion. The similarities and differences between the two indices are studied.

Original languageEnglish
Pages (from-to)309-331
Number of pages23
JournalEconomic Theory
Volume56
Issue number2
Early online date9 Nov 2013
DOIs
StatePublished - Jun 2014

Keywords

  • Absolute risk
  • Index of riskiness
  • Relative risk
  • Risk aversion
  • Riskiness

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