Riskiness for sets of gambles

Research output: Contribution to journalArticlepeer-review


Aumann-Serrano (J Polit Econ 116:810-836, 2008) and Foster-Hart (J Polit Econ 117:785-814, 2009) suggest two new riskiness measures, each of which enables one to elicit a complete and objective ranking of gambles according to their riskiness. These riskiness measures were created with a risky world in mind, but not an uncertain one. We apply similar arguments to models of decision under uncertainty and develop complete and objective rankings of sets of gambles, which arise naturally in many such models. Clearly, these results extend the previous riskiness measures, and they have a natural interpretation in terms of those measures even when uncertainty does play a significant role.

Original languageEnglish
Pages (from-to)515-547
Number of pages33
JournalEconomic Theory
Issue number3
StatePublished - Aug 2014
Externally publishedYes

Bibliographical note

Funding Information:
This paper was written as part of my Ph.D. dissertation at The Hebrew University of Jerusalem. I would like to thank Sergiu Hart for his dedicated guidance and Itzhak Gilboa for his valuable advices. I wish also to thank Robert Aumann, Yakov Babichenko, Edi Karni, Dalibor Rohac, Assaf Romm, Karl Schlag, Ran Shorrer, Amnon Schreiber, and seminar participants at the Hebrew University for valuable comments. The research leading to these results has received funding from the European Research Council under the European Community’s Seventh Framework Programme (FP7/2007-2013)/ERC grant agreement no. [249159].


  • Decision under uncertainty
  • Risk and uncertainty
  • Riskiness measures
  • Sets of gambles

ASJC Scopus subject areas

  • Economics and Econometrics


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