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
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.
preference relation, stochastic dominance, risk measure, risk aversion, generalized coherent risk measure, acceptance set, elliptic cone.
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Received in revised form: 06.07.2012
Tatyana A. Kustitskaya, “Representation of preferences by generalized coherent risk measures”, J. Sib. Fed. Univ. Math. Phys., 5:4 (2012), 451–461
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\paper Representation of preferences by generalized coherent risk measures
\jour J. Sib. Fed. Univ. Math. Phys.
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This publication is cited in the following articles:
Tatyana A. Kustitskaya, “Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures”, Zhurn. SFU. Ser. Matem. i fiz., 7:3 (2014), 347–361
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