Riaan de Jongh

North-West University

Private Bag X6001

Faculty of Economic and Management Sciences

Potchefstroom, Northwest 2520

South Africa

SCHOLARLY PAPERS

3

DOWNLOADS

1

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Portfolio Allocation Based on Expected Profit and Loss Measures

Journal of Investment Strategies, Vol. 9, No. 4
Number of pages: 42 Posted: 12 May 2021
Riaan de Jongh and Johannes H Venter
North-West University and affiliation not provided to SSRN
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Abstract:

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expected portfolio profit; expected loss; optimal long–short allocation; reward and risk contributions; linear programming portfolio solutions.

2.

Combining Scenario and Historical Data in the Loss Distribution Approach: A New Procedure that Incorporates Measures of Agreement between Scenarios and Historical Data

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 32 Posted: 30 Jun 2016
North-West University, North-West University, North-West University and North-West University - Center for Business Mathematics
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Abstract:

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loss distribution approach, severity distribution estimation, aggregate loss distribution estimation, combining historical data with scenario information, measures of agreement

3.

A Simulation Comparison of Quantile Approximation Techniques for Compound Distributions Popular in Operational Risk

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 26 Posted: 14 Jun 2016
North-West University, North-West University, North-West University and North-West University
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Abstract:

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compound distribution, quantile approximation, loss distribution approach (LDA), operational risk, single-loss approximation, perturbative approximation