We investigate a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials. This framework was first discussed in "An analytical framework for ...
The present issue of The Journal of Risk contains papers that address the impact of model risk on capital requirements, and also includes robust approximation approaches for risk assessment and risk ...
In this paper, we defined and studied the concept of exponential type multiplicatively convex functions and some of their algebraic properties. We derived Hermite-Hadamard inequalities for this class ...
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