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JOURNALS // Journal of Siberian Federal University. Mathematics & Physics // Archive

J. Sib. Fed. Univ. Math. Phys., 2012 Volume 5, Issue 4, Pages 451–461 (Mi jsfu267)

This article is cited in 2 papers

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.

UDC: 519.21

Received: 06.04.2012
Received in revised form: 06.07.2012
Accepted: 06.08.2012

Language: English



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