A global index of riskiness

We extend the pioneering work of Aumann-Serrano by presenting an index of riskiness for gambles with either positive or negative expectations. It can be of use for a variety of abstract behaviors, when adapting the framework of either Expected-Utility Theory or Prospect Theory.

► We extend the pioneering work of Aumann and Serrano regarding an index of riskiness. ► The extended index can be of use for a variety of possible rational behaviors. ► Applicable when adapting the framework of either Expected Utility Theory or Prospect Theory. ► The index satisfies the duality axiom. ► Mathematical proofs are included.