A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Link
https://link.springer.com/content/pdf/10.1007/s00199-022-01451-3.pdf
Reference30 articles.
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2. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Math. Financ. 9(3), 203–228 (1999)
3. Aumann, R.J., Serrano, R.: An economic index of riskiness. J. Polit. Econ. 116(5), 810–836 (2008)
4. Berk, J.B.: Necessary conditions for the CAPM. J. Econ. Theory 73(1), 245–257 (1997)
5. Camerer, C.F., Ho, T.-H.: Violations of the betweenness axiom and nonlinearity in probability. J. Risk Uncertain. 8(2), 167–96 (1994)
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