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