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A theoretical analysis of trading rules : an application to the moving average case with Markovian returns
Acar, Emmanuel - In: Applied mathematical finance 4 (1997) 3, pp. 165-180
Persistent link: https://www.econbiz.de/10001229349
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Stastistical properties of the sample semi-variance
Bond, Shaun A.; Satchell, Stephen - In: Applied mathematical finance 9 (2002) 4, pp. 219-239
Persistent link: https://www.econbiz.de/10001728714
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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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A re-examination of Sharpe's ratio for log-normal prices
Knight, John L.; Satchell, Stephen - In: Applied mathematical finance 12 (2005) 1, pp. 87-100
Persistent link: https://www.econbiz.de/10002727068
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Calculating hedge fund risk : the draw down and the maximum draw down
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 11 (2004) 3, pp. 259-282
Persistent link: https://www.econbiz.de/10002243487
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Changing correlation and equity portfolio diversification failure for linear factor models during market declines
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 14 (2007) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10003543026