Abstract
Gambles and securities are two types of risky assets: while the returns of a gamble are absolute, the returns of a security are relative, i.e., proportional to the investment amount. Following Aumann and Serrano (2008) who characterize an index of riskiness of gambles by axioms, we characterize an index of riskiness of securities by similar axioms. It is important to emphasize that the two indices are not equivalent but relate to two dierent aspects of risk, namely, absolute and relative risk.
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