Explicit solution to the economic index of riskiness

Zhenyu Cui; Cai Wu; Lingjiong Zhu

doi:10.1016/j.econlet.2023.111343

Explicit solution to the economic index of riskiness

Zhenyu Cui
, Cai Wu
, Lingjiong Zhu

School of Business

University of California at Berkeley
Fudan University
Florida State University

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Article number	111343
Journal	Economics Letters
Volume	232
DOIs	https://doi.org/10.1016/j.econlet.2023.111343
State	Published - Nov 2023

Keywords

Economic index of riskiness
General gambles
Lagrange inversion theorem
Utility

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10.1016/j.econlet.2023.111343

Cite this

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title = "Explicit solution to the economic index of riskiness",

abstract = "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.",

keywords = "Economic index of riskiness, General gambles, Lagrange inversion theorem, Utility",

author = "Zhenyu Cui and Cai Wu and Lingjiong Zhu",

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AU - Wu, Cai

AU - Zhu, Lingjiong

PY - 2023/11

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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

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UR - https://www.scopus.com/pages/publications/85171158752#tab=citedBy

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SN - 0165-1765

VL - 232

JO - Economics Letters

JF - Economics Letters

M1 - 111343

ER -

Explicit solution to the economic index of riskiness

Abstract

Keywords

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