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GARCH model with cross-sectional volatility : GARCHX models
Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 15 (2005) 3, pp. 203-216
Persistent link: https://www.econbiz.de/10002598953
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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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Continuous cumulative prospects theory and individual asset allocation
Davies, Greg B. (contributor); Satchell, Stephen (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002457755
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The behavioural components of risk aversion
Davies, Greg B. (contributor); Satchell, Stephen (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002395969
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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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A loss aversion performance measure
Farah, Nathalie (contributor); Satchell, Stephen (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001777903
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Utility functions with parameters depending on initial wealth
Pedersen, Christian S.; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10001350660
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The derivation of a new model of equity duration
Lewin, Richard A.; Satchell, Stephen - 2001
Persistent link: https://www.econbiz.de/10001592275
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Bernstein approximations to the copula function and portfolio optimization
Sancetta, Alessio; Satchell, Stephen - 2001
Persistent link: https://www.econbiz.de/10001592277
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Improving the estimates of the risk premia : application in the UK financial market
Pitsillis, M.; Satchell, Stephen - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593475