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This article is cited in 1 scientific paper (total in 1 paper) Representation of preferences by generalized coherent risk measures Tatyana A. Kustitskaya Institute of Space and Information Technology, Siberian Federal University, Krasnoyarsk, Russia 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. Keywords: preference relation, stochastic dominance, risk measure, risk aversion, generalized coherent risk measure, acceptance set, elliptic cone.  Full text:
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UDC: 519.21 Received: 06.04.2012 Received in revised form: 06.07.2012 Accepted: 06.08.2012 Language: Citation: Tatyana A. Kustitskaya, “Representation of preferences by generalized coherent risk measures”, J. Sib. Fed. Univ. Math. Phys., 5:4 (2012), 
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