Journal of Siberian Federal University. Mathematics & Physics: Risk Aversion for Defining Elliptic Acceptance Sets in the Model of Generalized Coherent Risk Measures

Journal of Siberian Federal University. Mathematics & Physics / Risk Aversion for Defining Elliptic Acceptance Sets in the Model of Generalized Coherent Risk Measures

Issue: Journal of Siberian Federal University. Mathematics & Physics. 2014 7 (3)
Authors: Kustitskaya, Tatyana A.
Contact information: Kustitskaya, Tatyana A.:Institute of Space and Information Technology, Siberian Federal University, Kirenskii, 26, Krasnoyarsk, 660074, Russia;
Keywords: generalized coherent risk measures; risk aversion; acceptance set; preference relation; elliptic cone
Abstract: Within the framework of generalized coherent risk measures the properties of acceptance sets are exam- ined. The class of elliptic cones is developed for representing individual preferences. The article presents the method of defining an appropriate elliptic cone using values of risk aversion (for p-norms in the space of risks)
Pages: 347–361
Paper at repository of SibFU: https://elib.sfu-kras.ru/handle/2311/13274