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Applied mathematical finance
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
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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
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2
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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3
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
Saved in:
4
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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5
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
Saved in:
6
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
Saved in:
7
Statistical properties of the sample semi-variance
Bond, Shaun A.
;
Satchell, Stephen E.
- In:
Applied mathematical finance
9
(
2002
)
4
,
pp. 219-240
Persistent link: https://www.econbiz.de/10008215868
Saved in:
8
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
Saved in:
9
A theoretical analysis of trading rules: An application to the moving average case with Markovian returns
Acar, Emmanuel
;
Satchell, Stephen E.
- In:
Applied mathematical finance
4
(
1997
)
3
,
pp. 165
Persistent link: https://www.econbiz.de/10008219564
Saved in:
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