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Decreasing returns to scale and skill in hedge funds
Ling, Yun; Satchell, Stephen; Yao, Juan - In: Journal of banking & finance 156 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014487095
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Performance measurement of portfolio risk based on orthant probabilities
Lundin, Mark; Satchell, Stephen - In: Performance measurement in finance, (pp. 261-284). 2002
Persistent link: https://www.econbiz.de/10001718622
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An integrated risk measure with application to UK asset allocation
Damant, David C.; Hwang, Soosung; Satchell, Stephen - 1997
Persistent link: https://www.econbiz.de/10000640903
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The validation of equity portfolio risk models
Satchell, Stephen - In: The analytics of risk model validation, (pp. 135-148). 2008
Persistent link: https://www.econbiz.de/10003868695
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Computing optimal mean/downside risk frontiers : the role of ellipticity
Hall, Tony; Satchell, Stephen - In: Optimizing optimization : the next generation of …, (pp. 179-199). 2010
Persistent link: https://www.econbiz.de/10003939154
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Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice
Hall, Anthony D.; Satchell, Stephen; Spence, P. J. - In: Applied economics 47 (2015) 43/45, pp. 4801-4813
Persistent link: https://www.econbiz.de/10011380850
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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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Diversification and desynchronicity : an organizational portfolio perspective on corporate risk reduction
Shao, Xue-Feng; Guliamos, Kōstas Iō.; Luo, Ben Nan-Feng; … - In: Risks : open access journal 8 (2020) 2/51, pp. 1-16
A longstanding objective of managers is to reduce risk to their businesses. The conventional strategy for risk … Organizational Portfolio Analysis, firms are viewed as portfolios of business units, and the key to risk reduction is both … 332 firms (from COMPUSTAT) were used to empirically test the relationships between diversification and risk, and …
Persistent link: https://www.econbiz.de/10012292861
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Trapped in diversification : another look at the risk of fund of hedge funds
Cui, Wei; Yao, Juan; Satchell, Stephen - In: The European journal of finance 25 (2019) 12, pp. 1055-1076
Persistent link: https://www.econbiz.de/10012207062
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Risk discriminating portfolio optimization
Deshpande, Amit; Ertley, Brian; Lundin, Mark; Satchell, … - In: Quantitative finance 19 (2019) 2, pp. 177-185
Persistent link: https://www.econbiz.de/10012194647