** The Simugram: A Robust
Measure of Market Risk**

**James R. Thompson**
**Department of
Statistics**
**Rice University**

**Abstract**

In 1738 Daniel Bernoulli created the St. Petersburg Paradox to show

that simply maximizing expectation of return was an inappropriate

strategy for pricing insurance policies. The strategy which he

recommended was to maximize the expectation of the logarithm of future

capital divided by present capital. Since Bernoulli, many investigators,

including von Neumann and Morgenstern, have attempted to find measures

of risk which involved taking the expectation of an appropriately chosen

scalar quantity. In this paper, I propose a robust infinite dimensional

measure of risk which can be used in practical portfolio selection.