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Journal of Siberian Federal University. Mathematics & Physics, 2012, Volume 5, Issue 4, Pages 451–461 (Mi jsfu267)  
This article is cited in 2 scientific papers (total 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
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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.
Received: 06.04.2012
Received in revised form: 06.07.2012
Accepted: 06.08.2012
Document Type: Article
UDC: 519.21
Language: English
Citation: Tatyana A. Kustitskaya, “Representation of preferences by generalized coherent risk measures”, J. Sib. Fed. Univ. Math. Phys., 5:4 (2012), 451–461
Citation in format AMSBIB
\Bibitem{Kus12}
\by Tatyana~A.~Kustitskaya
\paper Representation of preferences by generalized coherent risk measures
\jour J. Sib. Fed. Univ. Math. Phys.
\yr 2012
\vol 5
\issue 4
\pages 451--461
\mathnet{http://mi.mathnet.ru/jsfu267}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Журнал Сибирского федерального университета. Серия "Математика и физика"
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