TY - JOUR
T1 - Explicit solution to the economic index of riskiness
AU - Cui, Zhenyu
AU - Wu, Cai
AU - Zhu, Lingjiong
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/11
Y1 - 2023/11
N2 - In this paper, we develop an exact closed-form series expansion for the economic index of riskiness of general gambles in terms of moments information. Important special cases include the economic indexes of riskinesses proposed in Aumann and Serrano (2008); Bali et al. (2011); Foster and Hart (2009). Based on the closed-form formula, we characterize further theoretical properties for the economic index of riskiness. Numerical examples confirm the accuracy of the proposed closed-form formula.
AB - In this paper, we develop an exact closed-form series expansion for the economic index of riskiness of general gambles in terms of moments information. Important special cases include the economic indexes of riskinesses proposed in Aumann and Serrano (2008); Bali et al. (2011); Foster and Hart (2009). Based on the closed-form formula, we characterize further theoretical properties for the economic index of riskiness. Numerical examples confirm the accuracy of the proposed closed-form formula.
KW - Economic index of riskiness
KW - General gambles
KW - Lagrange inversion theorem
KW - Utility
UR - http://www.scopus.com/inward/record.url?scp=85171158752&partnerID=8YFLogxK
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U2 - 10.1016/j.econlet.2023.111343
DO - 10.1016/j.econlet.2023.111343
M3 - Article
AN - SCOPUS:85171158752
SN - 0165-1765
VL - 232
JO - Economics Letters
JF - Economics Letters
M1 - 111343
ER -