Сибирский федеральный университет

Тип публикации: статья из журнала

Год издания: 2014

Ключевые слова: Acceptance set, Elliptic cone, Generalized coherent risk measures, Preference relation, Risk aversion

Аннотация: 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). © Siberian Federal University. All rights reserved.

Журнал: Journal of Siberian Federal University - Mathematics and Physics

Выпуск журнала: Vol. 7, Is. 3

Номера страниц: 347-361

• Kustitskaya T.A. (Institute of Space and Information Technology, Siberian Federal University, Kirenskii, 26, Krasnoyarsk, 660074, Russian Federation)

• Scopus