The Foster-Hart measure of riskiness for general gambles

Riedel F, Hellmann T (2013) Working Papers. Institute of Mathematical Economics; 474.
Bielefeld: Center for Mathematical Economics.

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Abstract
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.
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Riedel F, Hellmann T. The Foster-Hart measure of riskiness for general gambles. Working Papers. Institute of Mathematical Economics. Vol 474. Bielefeld: Center for Mathematical Economics; 2013.
Riedel, F., & Hellmann, T. (2013). The Foster-Hart measure of riskiness for general gambles (Working Papers. Institute of Mathematical Economics, 474). Bielefeld: Center for Mathematical Economics.
Riedel, F., and Hellmann, T. (2013). The Foster-Hart measure of riskiness for general gambles. Working Papers. Institute of Mathematical Economics, 474, Bielefeld: Center for Mathematical Economics.
Riedel, F., & Hellmann, T., 2013. The Foster-Hart measure of riskiness for general gambles, Working Papers. Institute of Mathematical Economics, no.474, Bielefeld: Center for Mathematical Economics.
F. Riedel and T. Hellmann, The Foster-Hart measure of riskiness for general gambles, Working Papers. Institute of Mathematical Economics, vol. 474, Bielefeld: Center for Mathematical Economics, 2013.
Riedel, F., Hellmann, T.: The Foster-Hart measure of riskiness for general gambles. Working Papers. Institute of Mathematical Economics, 474. Center for Mathematical Economics, Bielefeld (2013).
Riedel, Frank, and Hellmann, Tobias. The Foster-Hart measure of riskiness for general gambles. Bielefeld: Center for Mathematical Economics, 2013. Working Papers. Institute of Mathematical Economics. 474.
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