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Estimating consumption plans for recursive utility by maximum entropy methods

Satchell, Stephen; Thorp, Susan; Williams, Oliver - 2012

Persistent link: https://www.econbiz.de/10009564475

Forecast evaluation in the presence of unobserved volatility

Christodoulakis, George A.; Satchell, Stephen - In: Econometric reviews 23 (2004) 3, pp. 175-198

Persistent link: https://www.econbiz.de/10002263007

The impact of consumer confidence on expected utility maximization : a contribution to the equity premium puzzle literature

Merella, Vincenzo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003266300

Utility functions with parameters depending on initial wealth

Pedersen, Christian S.; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10001350660

Utility functions whose parameters depend on initial wealth

Pedersen, Christian S.; Satchell, Stephen - In: Bulletin of economic research 55 (2003) 4, pp. 357-371

Persistent link: https://www.econbiz.de/10001837827

An extended family of financial risk measures

Pedersen, Christian S.; Satchell, Stephen - In: The Geneva papers on risk and insurance theory 23 (1998) 2, pp. 89-117

Persistent link: https://www.econbiz.de/10001446188

Risk presentation and portfolio choice

Bateman, Hazel; Eckert, Christine; Geweke, John; … - In: Review of finance : journal of the European Finance … 20 (2016) 1, pp. 201-229

Persistent link: https://www.econbiz.de/10011590288

Investment decisions when utility depends on wealth and other attributes

Grant, Andrew; Satchell, Stephen - In: Quantitative finance 20 (2020) 3, pp. 499-513

Persistent link: https://www.econbiz.de/10012194904

Quantifying the non-Gaussian gain

Allen, David; Satchell, Stephen; Lizieri, Colin - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014511571

Utility Functions Whose Parameters Depend on Initial Wealth

Pedersen, Christian S.; Satchell, Stephen E. - 2003

Conventional one-period utility functions in Economics assume that initial wealth only enters preferences through the definition of final wealth. Consequently, those utility functions most utilized (i.e., exponential and quadratic) have implausible risk characteristics. The authors characterize...

Persistent link: https://www.econbiz.de/10014075233