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Journal of Siberian Federal University. Mathematics & Physics, 2014, Volume 7, Issue 3, Pages 347–361
(Mi jsfu381)
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Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures
Tatyana A. Kustitskaya Institute of Space and Information Technology, Siberian Federal University, Kirenskii, 26, Krasnoyarsk, 660074, Russia
Abstract:
Within the framework of generalized coherent risk measures the properties of acceptance sets are examined. The class of elliptic cones is developed for representing individual preferences. The article presents the method of defining an appropriate elliptic cone using values of risk aversion (for $p$-norms in the space of risks).
Keywords:
generalized coherent risk measures, risk aversion, acceptance set, preference relation, elliptic cone.
Received: 10.03.2014 Received in revised form: 26.04.2014 Accepted: 30.05.2014
Citation:
Tatyana A. Kustitskaya, “Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures”, J. Sib. Fed. Univ. Math. Phys., 7:3 (2014), 347–361
Linking options:
https://www.mathnet.ru/eng/jsfu381 https://www.mathnet.ru/eng/jsfu/v7/i3/p347
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Statistics & downloads: |
Abstract page: | 192 | Full-text PDF : | 67 | References: | 43 |
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