Aumann and Serrano’s economic index of risk for sums of gambles
We study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is alw...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2014-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2014.921574 |
| _version_ | 1811268594172952576 |
|---|---|
| author | Minqiang Li |
| author_facet | Minqiang Li |
| author_sort | Minqiang Li |
| collection | DOAJ |
| description | We study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is always smaller than the maximum. The above results agree with our intuitions of risk diversification well. These result points out another attractive property of Aumann and Serrano’s risk index. These properties are potentially useful for risk assessment purposes of financial securities. |
| first_indexed | 2024-04-12T21:25:44Z |
| format | Article |
| id | doaj.art-657e895ddc824494bff71ce175c1f8a8 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-04-12T21:25:44Z |
| publishDate | 2014-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-657e895ddc824494bff71ce175c1f8a82022-12-22T03:16:10ZengTaylor & Francis GroupCogent Economics & Finance2332-20392014-12-012110.1080/23322039.2014.921574921574Aumann and Serrano’s economic index of risk for sums of gamblesMinqiang Li0Bloomberg LPWe study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is always smaller than the maximum. The above results agree with our intuitions of risk diversification well. These result points out another attractive property of Aumann and Serrano’s risk index. These properties are potentially useful for risk assessment purposes of financial securities.http://dx.doi.org/10.1080/23322039.2014.921574risk indexadditive gamblessubadditivitypositive quadrant dependence |
| spellingShingle | Minqiang Li Aumann and Serrano’s economic index of risk for sums of gambles Cogent Economics & Finance risk index additive gambles subadditivity positive quadrant dependence |
| title | Aumann and Serrano’s economic index of risk for sums of gambles |
| title_full | Aumann and Serrano’s economic index of risk for sums of gambles |
| title_fullStr | Aumann and Serrano’s economic index of risk for sums of gambles |
| title_full_unstemmed | Aumann and Serrano’s economic index of risk for sums of gambles |
| title_short | Aumann and Serrano’s economic index of risk for sums of gambles |
| title_sort | aumann and serrano s economic index of risk for sums of gambles |
| topic | risk index additive gambles subadditivity positive quadrant dependence |
| url | http://dx.doi.org/10.1080/23322039.2014.921574 |
| work_keys_str_mv | AT minqiangli aumannandserranoseconomicindexofriskforsumsofgambles |