Some physicists suggest that to more adequately describe the causal structure of space-time, it is necessary to go beyond the usual pseudo-Riemannian causality, to a more general Finsler causality. In this general case, the set of all the events which can be influenced by a given event is, locally, a generic convex cone, and not necessarily a pseudo-Reimannian-style quadratic cone. Since all current observations support pseudo-Riemannian causality, Finsler causality cones should be close to quadratic ones. It is therefore desirable to approximate a general convex cone by a quadratic one. This cane be done if we select a hyperplane, and approximate intersections of cones and this hyperplane. In the hyperplane, we need to approximate a convex body by an ellipsoid. This can be done in an affine-invariant way, e.g., by selecting, among all ellipsoids containing the body, the one with the smallest volume; since volume is affine-covariant, this selection is affine-invariant. However, this selection may depend on the choice of the hyperplane. It is therefore desirable to directly approximate the convex cone describing Finsler causality with the quadratic cone, ideally in an affine-invariant way. We prove, however, that on the set of convex cones, there is no affine-covariant characteristic like volume. So, any approximation is necessarily not affine-invariant.