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Entropic Value At Risk
In financial mathematics and stochastic optimization, the concept of risk measure is used to quantify the risk involved in a random outcome or risk position. Many risk measures have hitherto been proposed, each having certain characteristics. The entropic value at risk (EVaR) is a coherent risk measure introduced by Ahmadi-Javid, which is an upper bound for the value at risk (VaR) and the conditional value at risk (CVaR), obtained from the Chernoff inequality. The EVaR can also be represented by using the concept of relative entropy. Because of its connection with the VaR and the relative entropy, this risk measure is called "entropic value at risk". The EVaR was developed to tackle some computational inefficiencies of the CVaR. Getting inspiration from the dual representation of the EVaR, Ahmadi-Javid developed a wide class of coherent risk measures, called g-entropic risk measures. Both the CVaR and the EVaR are members of this class. Definition Let (\Omega,\mathcal,P) be a pr ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Mathematics
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often by help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on mathematical fina ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Kullback–Leibler Divergence
In mathematical statistics, the Kullback–Leibler divergence (also called relative entropy and I-divergence), denoted D_\text(P \parallel Q), is a type of statistical distance: a measure of how one probability distribution ''P'' is different from a second, reference probability distribution ''Q''. A simple interpretation of the KL divergence of ''P'' from ''Q'' is the expected excess surprise from using ''Q'' as a model when the actual distribution is ''P''. While it is a distance, it is not a metric, the most familiar type of distance: it is not symmetric in the two distributions (in contrast to variation of information), and does not satisfy the triangle inequality. Instead, in terms of information geometry, it is a type of divergence, a generalization of squared distance, and for certain classes of distributions (notably an exponential family), it satisfies a generalized Pythagorean theorem (which applies to squared distances). In the simple case, a relative entropy of 0 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Complexity
Complexity characterises the behaviour of a system or model whose components interact in multiple ways and follow local rules, leading to nonlinearity, randomness, collective dynamics, hierarchy, and emergence. The term is generally used to characterize something with many parts where those parts interact with each other in multiple ways, culminating in a higher order of emergence greater than the sum of its parts. The study of these complex linkages at various scales is the main goal of complex systems theory. The intuitive criterion of complexity can be formulated as follows: a system would be more complex if more parts could be distinguished, and if more connections between them existed. Science takes a number of approaches to characterizing complexity; Zayed ''et al.'' reflect many of these. Neil Johnson states that "even among scientists, there is no unique definition of complexity – and the scientific notion has traditionally been conveyed using particular examples ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Discrete Random Variable
A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. It is a mapping or a function from possible outcomes (e.g., the possible upper sides of a flipped coin such as heads H and tails T) in a sample space (e.g., the set \) to a measurable space, often the real numbers (e.g., \ in which 1 corresponding to H and -1 corresponding to T). Informally, randomness typically represents some fundamental element of chance, such as in the roll of a dice; it may also represent uncertainty, such as measurement error. However, the interpretation of probability is philosophically complicated, and even in specific cases is not always straightforward. The purely mathematical analysis of random variables is independent of such interpretational difficulties, and can be based upon a rigorous axiomatic setup. In the formal mathematical language of measure theory, a random va ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Tractable Problem
In theoretical computer science and mathematics, computational complexity theory focuses on classifying computational problems according to their resource usage, and relating these classes to each other. A computational problem is a task solved by a computer. A computation problem is solvable by mechanical application of mathematical steps, such as an algorithm. A problem is regarded as inherently difficult if its solution requires significant resources, whatever the algorithm used. The theory formalizes this intuition, by introducing mathematical models of computation to study these problems and quantifying their computational complexity, i.e., the amount of resources needed to solve them, such as time and storage. Other measures of complexity are also used, such as the amount of communication (used in communication complexity), the number of gates in a circuit (used in circuit complexity) and the number of processors (used in parallel computing). One of the roles of computati ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Independent Random Variables
Independent or Independents may refer to: Arts, entertainment, and media Artist groups * Independents (artist group), a group of modernist painters based in the New Hope, Pennsylvania, area of the United States during the early 1930s * Independents (Oporto artist group), a Portuguese artist group historically linked to abstract art and to Fernando Lanhas, the central figure of Portuguese abstractionism Music Groups, labels, and genres * Independent music, a number of genres associated with independent labels * Independent record label, a record label not associated with a major label * Independent Albums, American albums chart Albums * ''Independent'' (Ai album), 2012 * ''Independent'' (Faze album), 2006 * ''Independent'' (Sacred Reich album), 1993 Songs * "Independent" (song), a 2007 song by Webbie * "Independent", a 2002 song by Ayumi Hamasaki from '' H'' News and media organizations * '' The Independent'', a British online newspaper. * ''The Malta Independent'', a Mal ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Convex Function
In mathematics, a real-valued function is called convex if the line segment between any two points on the graph of the function lies above the graph between the two points. Equivalently, a function is convex if its epigraph (the set of points on or above the graph of the function) is a convex set. A twice-differentiable function of a single variable is convex if and only if its second derivative is nonnegative on its entire domain. Well-known examples of convex functions of a single variable include the quadratic function x^2 and the exponential function e^x. In simple terms, a convex function refers to a function whose graph is shaped like a cup \cup, while a concave function's graph is shaped like a cap \cap. Convex functions play an important role in many areas of mathematics. They are especially important in the study of optimization problems where they are distinguished by a number of convenient properties. For instance, a strictly convex function on an open set has ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Support Of The Random Vector
Support may refer to: Arts, entertainment, and media * Supporting character Business and finance * Support (technical analysis) * Child support * Customer support * Income Support Construction * Support (structure), or lateral support, a type of structural support to help prevent sideways movement * Structural support, architectural components that include arches, beams, columns, balconies, and stretchers Law and politics * Advocacy, in politics, support for constituencies, issues, or legislation * Lateral and subjacent support, a legal term Mathematics Mathematics (generally) * Support (mathematics), subset of the domain of a function where it is non-zero valued * Support (measure theory), a subset of a measurable space * Supporting hyperplane, sometimes referred to as support Statistics * Support, the natural logarithm of the likelihood ratio, as used in phylogenetics * Method of support, in statistics, a technique that is used to make inferences from data ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Distribution
In probability theory and statistics, a probability distribution is the mathematical function that gives the probabilities of occurrence of different possible outcomes for an experiment. It is a mathematical description of a random phenomenon in terms of its sample space and the probabilities of events (subsets of the sample space). For instance, if is used to denote the outcome of a coin toss ("the experiment"), then the probability distribution of would take the value 0.5 (1 in 2 or 1/2) for , and 0.5 for (assuming that the coin is fair). Examples of random phenomena include the weather conditions at some future date, the height of a randomly selected person, the fraction of male students in a school, the results of a survey to be conducted, etc. Introduction A probability distribution is a mathematical description of the probabilities of events, subsets of the sample space. The sample space, often denoted by \Omega, is the set of all possible outcomes of a rando ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Random Vector
In probability, and statistics, a multivariate random variable or random vector is a list of mathematical variables each of whose value is unknown, either because the value has not yet occurred or because there is imperfect knowledge of its value. The individual variables in a random vector are grouped together because they are all part of a single mathematical system — often they represent different properties of an individual statistical unit. For example, while a given person has a specific age, height and weight, the representation of these features of ''an unspecified person'' from within a group would be a random vector. Normally each element of a random vector is a real number. Random vectors are often used as the underlying implementation of various types of aggregate random variables, e.g. a random matrix, random tree, random sequence, stochastic process, etc. More formally, a multivariate random variable is a column vector \mathbf = (X_1,\dots,X_n)^\mathsf (or ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Decision Vector
Decision may refer to: Law and politics *Judgment (law), as the outcome of a legal case *Landmark decision, the outcome of a case that sets a legal precedent * ''Per curiam'' decision, by a court with multiple judges Books * ''Decision'' (novel), a 1983 political novel by Allen Drury * ''The Decision'' (novel), a 1998 book in the ''Animorphs'' series Sports *Decision (baseball), a statistical credit earned by a baseball pitcher * Decisions in combat sports *Decisions (professional wrestling), by which a wrestler scores a point against his opponent Film and TV * ''Decision'' (TV series), an American anthology TV series * ''The Decision'' (play), by the 20th-century German dramatist Bertolt Brecht * ''The Decision'' (TV special), in which NBA player LeBron James announced that he would switch teams * "The Decision" (song), by English indie rock band Young Knives Music Albums * ''Decisions'' (George Adams and Don Pullen album), 1984 * ''Decisions'' (The Winans album), 1987 Songs ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Comparing The VaR, CVaR And EVaR For The Uniform Distribution
Comparison or comparing is the act of evaluating two or more things by determining the relevant, comparable characteristics of each thing, and then determining which characteristics of each are similar to the other, which are different, and to what degree. Where characteristics are different, the differences may then be evaluated to determine which thing is best suited for a particular purpose. The description of similarities and differences found between the two things is also called a comparison. Comparison can take many distinct forms, varying by field: To compare things, they must have characteristics that are similar enough in relevant ways to merit comparison. If two things are too different to compare in a useful way, an attempt to compare them is colloquially referred to in English as "comparing apples and oranges." Comparison is widely used in society, in science and in the arts. General usage Comparison is a natural activity, which even animals engage in when deci ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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