Journal of Siberian Federal University. Mathematics & Physics / Representation of Preferences by Generalized Coherent Risk Measures

Full text (.pdf)
Issue
Journal of Siberian Federal University. Mathematics & Physics. 2012 5 (4)
Authors
Kustitskaya, Tatyana A.
Contact information
Kustitskaya, Tatyana A. : Institute of Space and Information Technology, Siberian Federal University , Kirensky, 26, Krasnoyarsk, 660074 Russia , e-mail:
Keywords
preference relation; stochastic dominance; risk measure; risk aversion; generalized coherent risk measure; acceptance set; elliptic cone
Abstract

In this paper the model of generalized coherent risk measures is considered. Within the bounds of the model the properties of acceptance set are examined. A notion of elliptic cone is introduced. It is shown that the elliptic cone can be used as an acceptance set. The properties of the elliptic acceptance cone, particularly the interrelation between the cone shape and the risk aversion value, are studied.

Pages
451-461
Paper at repository of SibFU
https://elib.sfu-kras.ru/handle/2311/3098