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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Deviation risk measure ： ウィキペディア英語版 Deviation risk measure In financial mathematics, a deviation risk measure is a function to quantify financial risk (and not necessarily downside risk) in a different method than a general risk measure. Deviation risk measures generalize the concept of standard deviation. ==Mathematical definition== A function $D:\; \backslash mathcal^2\; \backslash to\; ()$, where $\backslash mathcal^2$ is the L2 space of random portfolio returns, is a deviation risk measure if # Shift-invariant: $D(X\; +\; r)\; =\; D(X)$ for any $r\; \backslash in\; \backslash mathbb$ # Normalization: $D(0)\; =\; 0$ # Positively homogeneous: $D(\backslash lambda\; X)\; =\; \backslash lambda\; D(X)$ for any $X\; \backslash in\; \backslash mathcal^2$ and $\backslash lambda\; >\; 0$ # Sublinearity: $D(X\; +\; Y)\; \backslash leq\; D(X)\; +\; D(Y)$ for any $X,\; Y\; \backslash in\; \backslash mathcal^2$ # Positivity: $D(X)\; >\; 0$ for all nonconstant ''X'', and $D(X)\; =\; 0$ for any constant ''X''. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Deviation risk measure」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.