Geodesic
Representation of preferences by generalized coherent risk measures
Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 5 (2012) no. 4, pp. 451-461

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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. 
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     author = {Tatyana A. Kustitskaya},
     title = {Representation of preferences by generalized coherent risk measures},
     journal = {\v{Z}urnal Sibirskogo federalʹnogo universiteta. Matematika i fizika},
     pages = {451--461},
     publisher = {mathdoc},
     volume = {5},
     number = {4},
     year = {2012},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/JSFU_2012_5_4_a1/}
}
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Tatyana A. Kustitskaya. Representation of preferences by generalized coherent risk measures. Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 5 (2012) no. 4, pp. 451-461. http://geodesic.mathdoc.fr/item/JSFU_2012_5_4_a1/