J. H. Venter
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Articles by J. H. Venter
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Portfolio allocation based on expected profit and loss measures
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.