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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

Managing downside risk in financial markets : theory, practice and implementation

Sortino, Frank Alphonse (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001567077

Forecasting nonlinear functions of returns using LINEX loss functions

Hwang, Soosung; Knight, John L.; Satchell, Stephen - In: Annals of economics and finance 2 (2001) 1, pp. 187-213

Persistent link: https://www.econbiz.de/10001732270

Generalized mean-variance analysis and robust portfolio diversification

Wright, Stephen M.; Satchell, Stephen - In: Advances in portfolio construction and implementation, (pp. 40-54). 2003

Persistent link: https://www.econbiz.de/10001771094

Assessing the merits of rank-based optimization for portfolio construction

Hwang, Soosung; Satchell, Stephen; Wright, Stephen M. - In: Advances in portfolio construction and implementation, (pp. 269-289). 2003

Persistent link: https://www.econbiz.de/10001771118

Some exact results for efficient portfolios with given returns

Hillier, Grant H.; Satchell, Stephen - In: Advances in portfolio construction and implementation, (pp. 310-325). 2003

Persistent link: https://www.econbiz.de/10001771123

Testing for short termism in the UK stock market : a comment

Satchell, Stephen - In: The economic journal : the journal of the Royal … 105 (1995) 432, pp. 1218-1223

Persistent link: https://www.econbiz.de/10001185680

An assessment of the economic value of nonlinear foreign exchange rate forecasts

Satchell, Stephen; Timmermann, Allan - 1995

Persistent link: https://www.econbiz.de/10000914266

Flash crash in an OTC market

Schroeder, Florian; Allan, Matthew; Lepone, Andrew; … - 2018

Persistent link: https://www.econbiz.de/10013164201

Testing Price Bubbles in Australian Listed Equities and A-REIT Markets

Alcock, Jamie - 2020

Price bubbles are a phenomenon of asset markets that contradicts market efficiency. In this paper we explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. The Australian market is a unique setting to test for price bubbles, given the regular...

Persistent link: https://www.econbiz.de/10012835130

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