Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81091
Authors: 
Riedel, Frank
Hellmann, Tobias
Year of Publication: 
2013
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 474
Abstract: 
Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions including many uniform distributions, e.g. We show how to extend consistently the definition of 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 environments for general distributions and probability spaces, and we show that the extended measure avoids bankruptcy in infinitely repeated gambles.
Subjects: 
risk measures
operational
bankruptcy
continuous random variable
JEL: 
D81
G11
Document Type: 
Working Paper

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