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Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
Sancetta, Alessio; Satchell, Steve E. - In: Applied mathematical finance 14 (2007) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10008221753
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Calculating hedge fund risk: the draw down and the maximum draw down
Sancetta, Alessio; Satchell, Steve E. - In: Applied mathematical finance 11 (2004) 3, pp. 259
Persistent link: https://www.econbiz.de/10008223286
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Exponential risk measure with application to UK asset allocation
Satchell, Stephen; Damant, David C.; Hwang, Soosung - In: Applied mathematical finance 7 (2000) 2, pp. 127-152
Persistent link: https://www.econbiz.de/10001563801
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Exponential risk measure with application to UK asset allocation
Satchell, Stephen E.; Damant, David C.; Hwang, Soosung - In: Applied mathematical finance 7 (2000) 2, pp. 127
Persistent link: https://www.econbiz.de/10008217347