Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/96032 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009-09
Publisher: 
Bar-Ilan University, Department of Economics, Ramat-Gan
Abstract: 
We extend the pioneering work of Aumann and Serrano by presenting an index of inherent riskiness of a gamble having the desirable properties of their index, while being applicable to gambles with either positive or negative expectations. As such, our index provides a measure of riskiness which is of use for both risk lovers and risk aversive gamblers, and is defined for all discrete and a large class of continuous gambles. e analyze abstract properties of our index, and present in addition three empirical applications - roulette, horse betting market and US options traded on financial stocks between 2005 and 2007.
Document Type: 
Working Paper

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