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1
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
Saved in:
2
Cost of capital and regulator's preferences : investigation into a new method of estimating regulatory beta
Sancetta, Alessio
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002153214
Saved in:
3
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
Saved in:
4
Bernstein approximations to the copula function and portfolio optimization
Sancetta, Alessio
;
Satchell, Stephen
-
2001
Persistent link: https://www.econbiz.de/10001592277
Saved in:
5
Changing correlation and portfolio diversification failure in the presence of large market losses
Sancetta, Alessio
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001764558
Saved in:
6
The Bernstein copula and its applications to modelling and approximations of multivariate distributions
Sancetta, Alessio
;
Satchell, Stephen
- In:
Econometric theory
20
(
2004
)
3
,
pp. 535-562
Persistent link: https://www.econbiz.de/10002068268
Saved in:
7
The small noise arbitrage pricing theory and its welfare implications
Satchell, Stephen
- In:
Linear factor models in finance
,
(pp. 150-158)
.
2005
Persistent link: https://www.econbiz.de/10003304035
Saved in:
8
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
Saved in:
9
Optimizing optimization : the next generation of optimization applications and theory
Satchell, Stephen
-
2010
Persistent link: https://www.econbiz.de/10003904112
Saved in:
10
Editorial: Decision making
Satchell, Stephen
- In:
The journal of asset management
14
(
2013
)
6
,
pp. 335
Persistent link: https://www.econbiz.de/10010258484
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