Abstract:
An overview of recent approaches -- ordinal, operational, and axiomatic -- to measuring the riskiness of gambles (risky assets).

Papers:

• Robert J. Aumann and Roberto Serrano
  "An Economic Index of Riskiness"
  Journal of Political Economy 116 (2008), 810-836
• Dean P. Foster and Sergiu Hart
  "An Operational Measure of Riskiness"
  Journal of Political Economy 117 (2009), 785-814
• Sergiu Hart
  "Comparing Risks by Acceptance and Rejection"
  Journal of Political Economy 119 (2011), 617-638
• Dean P. Foster and Sergiu Hart "A Wealth-Requirement Axiomatization of Riskiness"
  2007; Center for Rationality DP-577 (June 2011); Theoretical Economics (forthcoming)