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The Foster-Hart Measure of Riskiness for General Gambles by Riedel, Frank; Hellmann, Tobias is a scholarly article available to read on EtoBox.

What is The Foster-Hart Measure of Riskiness for General Gambles about?

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.

Author

Riedel, Frank; Hellmann, Tobias

Published

2013

Language

EN