Risk measureIn financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The purpose of this reserve is to make the risks taken by financial institutions, such as banks and insurance companies, acceptable to the regulator. In recent years attention has turned towards convex and coherent risk measurement. A risk measure is defined as a mapping from a set of random variables to the real numbers. This set of random variables represents portfolio returns.
Locally convex topological vector spaceIn functional analysis and related areas of mathematics, locally convex topological vector spaces (LCTVS) or locally convex spaces are examples of topological vector spaces (TVS) that generalize normed spaces. They can be defined as topological vector spaces whose topology is generated by translations of balanced, absorbent, convex sets. Alternatively they can be defined as a vector space with a family of seminorms, and a topology can be defined in terms of that family.
Coherent risk measureIn the fields of actuarial science and financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a risk measure might or might not have. A coherent risk measure is a function that satisfies properties of monotonicity, sub-additivity, homogeneity, and translational invariance. Consider a random outcome viewed as an element of a linear space of measurable functions, defined on an appropriate probability space.
Convex setIn geometry, a subset of a Euclidean space, or more generally an affine space over the reals, is convex if, given any two points in the subset, the subset contains the whole line segment that joins them. Equivalently, a convex set or a convex region is a subset that intersects every line into a single line segment (possibly empty). For example, a solid cube is a convex set, but anything that is hollow or has an indent, for example, a crescent shape, is not convex. The boundary of a convex set is always a convex curve.
Entropic value at riskIn 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.
Topological vector spaceIn mathematics, a topological vector space (also called a linear topological space and commonly abbreviated TVS or t.v.s.) is one of the basic structures investigated in functional analysis. A topological vector space is a vector space that is also a topological space with the property that the vector space operations (vector addition and scalar multiplication) are also continuous functions. Such a topology is called a and every topological vector space has a uniform topological structure, allowing a notion of uniform convergence and completeness.
Complete topological vector spaceIn functional analysis and related areas of mathematics, a complete topological vector space is a topological vector space (TVS) with the property that whenever points get progressively closer to each other, then there exists some point towards which they all get closer. The notion of "points that get progressively closer" is made rigorous by or , which are generalizations of , while "point towards which they all get closer" means that this Cauchy net or filter converges to The notion of completeness for TVSs uses the theory of uniform spaces as a framework to generalize the notion of completeness for metric spaces.
Normed vector spaceIn mathematics, a normed vector space or normed space is a vector space over the real or complex numbers on which a norm is defined. A norm is a generalization of the intuitive notion of "length" in the physical world. If is a vector space over , where is a field equal to or to , then a norm on is a map , typically denoted by , satisfying the following four axioms: Non-negativity: for every ,. Positive definiteness: for every , if and only if is the zero vector.
Metrizable topological vector spaceIn functional analysis and related areas of mathematics, a metrizable (resp. pseudometrizable) topological vector space (TVS) is a TVS whose topology is induced by a metric (resp. pseudometric). An LM-space is an inductive limit of a sequence of locally convex metrizable TVS.
Fréchet spaceIn functional analysis and related areas of mathematics, Fréchet spaces, named after Maurice Fréchet, are special topological vector spaces. They are generalizations of Banach spaces (normed vector spaces that are complete with respect to the metric induced by the norm). All Banach and Hilbert spaces are Fréchet spaces. Spaces of infinitely differentiable functions are typical examples of Fréchet spaces, many of which are typically Banach spaces.
