|
In financial mathematics, a conditional risk measure is a random variable of the financial risk (particularly the downside risk) as if measured at some point in the future. A risk measure can be thought of as a conditional risk measure on the trivial sigma algebra. A dynamic risk measure is a risk measure that deals with the question of how evaluations of risk at different times are related. It can be interpreted as a sequence of conditional risk measures. ==Conditional risk measure== A mapping is a conditional risk measure if it has the following properties: ; Conditional cash invariance : ; Monotonicity : ; Normalization : If it is a conditional convex risk measure then it will also have the property: ; Conditional convexity : A conditional coherent risk measure is a conditional convex risk measure that additionally satisfies: ; Conditional positive homogeneity : 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「dynamic risk measure」の詳細全文を読む スポンサード リンク
|