Geodesic
Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures
Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 7 (2014) no. 3, pp. 347-361

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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. 
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     author = {Tatyana A. Kustitskaya},
     title = {Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures},
     journal = {\v{Z}urnal Sibirskogo federalʹnogo universiteta. Matematika i fizika},
     pages = {347--361},
     publisher = {mathdoc},
     volume = {7},
     number = {3},
     year = {2014},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/JSFU_2014_7_3_a9/}
}
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Tatyana A. Kustitskaya. Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures. Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 7 (2014) no. 3, pp. 347-361. http://geodesic.mathdoc.fr/item/JSFU_2014_7_3_a9/