Risk Aversion for Defining Elliptic Acceptance Sets in the Model of Generalized Coherent Risk Measures
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https://elib.sfu-kras.ru/handle/2311/13274Author:
Kustitskaya, Tatyana A.
Кустицкая, Татьяна А.
Date:
2014-07Abstract:
Within the framework of generalized coherent risk measures the properties of acceptance sets are exam-
ined. 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) В рамках модели обобщенных когерентных мер риска исследованы свойства множеств приемле-
мых рисков. Предложен класс эллиптических конусов для описания индивидуальных предпочте-
ний. Построена методика нахождения эллиптического конуса приемлемых рисков по значениям
функции неприятия риска (для случая гельдеровых норм в пространстве рисков)
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