Stephen Satchell: search on Z-Library

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1

Asset Management || Measuring Investor Sentiment in Equity Markets

Satchell, Stephen

Year:

2016

Language:

english

File:

PDF, 224 KB

english, 2016

2

The Statistical Properties of the Black–Scholes Option Price

Mthuli Ncube, Stephen Satchell

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 223 KB

english, 1997

3

Using Bayesian variable selection methods to choose style factors in global stock return models

Anthony D. Hall, Soosung Hwang, Stephen E. Satchell

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 787 KB

english, 2002

4

Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Soosung Hwang, Stephen E. Satchell

Journal:

Journal of Banking & Finance

Year:

2000

Language:

english

File:

PDF, 305 KB

english, 2000

5

Style rotation and dynamic asset allocation

Satchell, Stephen

Journal:

Journal of Asset Management

Year:

2011

Language:

english

File:

PDF, 30 KB

english, 2011

6

Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence

Bateman, Hazel, Islam, Towhidul, Louviere, Jordan, Satchell, Stephen, Thorp, Susan

Journal:

Journal of Behavioral Finance

Year:

2011

Language:

english

File:

PDF, 254 KB

english, 2011

7

Portfolio Construction and Risk Budgeting

Stephen E Satchell

Journal:

Journal of Asset Management

Year:

2002

Language:

english

File:

PDF, 52 KB

english, 2002

8

In Defense of Portfolio Optimization: What If We Can Forecast?

Allen, David, Lizieri, Colin, Satchell, Stephen

Journal:

Financial Analysts Journal

Year:

2019

Language:

english

File:

PDF, 815 KB

english, 2019

9

Styles through a convergent/divergent lens: the curious case of ESG

Gao, Yang, Satchell, Stephen, Srivastava, Nandini

Journal:

Journal of Asset Management

Year:

2020

File:

PDF, 1.12 MB

2020

10

The exact distribution of the maximum likelihood estimators for the linear regression negative exponential model

John L. Knight, Stephen E. Satchell

Journal:

Journal of Statistical Planning and Inference

Year:

1996

Language:

english

File:

PDF, 469 KB

english, 1996

11

Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

George A. Christodoulakis, Stephen E. Satchell

Journal:

European Journal of Operational Research

Year:

2002

Language:

english

File:

PDF, 412 KB

english, 2002

12

Investment Decisions for Retirement Savings

HAZEL BATEMAN, JORDAN LOUVIERE, SUSAN THORP, TOWHIDUL ISLAM, STEPHEN SATCHELL

Journal:

Journal of Consumer Affairs

Year:

2010

Language:

english

File:

PDF, 560 KB

english, 2010

13

An Extended Family of Financial-Risk Measures

Christian S. Pedersen, Stephen E. Satchell

Journal:

The GENEVA Risk and Insurance Review

Year:

1998

Language:

english

File:

PDF, 115 KB

english, 1998

14

A bias-adjusted Black and Scholes option pricing model

Ncube, Mthuli, Satchell, Stephen

Journal:

Applied Financial Economics

Year:

1995

Language:

english

File:

PDF, 645 KB

english, 1995

15

Fairness in Trading: A Microeconomic Interpretation

Satchell, Stephen, Scherer, Bernd

Journal:

The Journal of Trading

Year:

2010

Language:

english

File:

PDF, 404 KB

english, 2010

16

Derivatives and Hedge Funds || Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story

Satchell, Stephen

Year:

2016

Language:

english

File:

PDF, 299 KB

english, 2016

17

Small Sample Analysis of Performance Measures in the Asymmetric Response Model

Christian S. Pedersen and Stephen E. Satchell

Journal:

Journal of Financial and Quantitative Analysis

Year:

2000

Language:

english

File:

PDF, 2.54 MB

english, 2000

18

Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?

Bond, Shaun A, Hwang, Soosung, Mitchell, Paul, Satchell, Stephen E

Journal:

The Journal of Portfolio Management

Year:

2007

Language:

english

File:

PDF, 1.21 MB

english, 2007

19

Asset Management || A Demystification of the Black-Litterman Model: Managing Quantitative and Traditional Portfolio Construction

Satchell, Stephen

Year:

2016

Language:

english

File:

PDF, 251 KB

english, 2016

20

Asset Management || The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets

Satchell, Stephen

Year:

2016

Language:

english

File:

PDF, 266 KB

english, 2016

21

Asymmetric Dependence in Finance (Diversification, Correlation and Portfolio Management in Market Downturns) || The Most Entropic Canonical Copula with an Application to ‘Style’ Investment

Alcock, Jamie, Satchell, Stephen

Year:

2018

Language:

english

File:

PDF, 1.14 MB

english, 2018

22

Asymmetric Dependence in Finance (Diversification, Correlation and Portfolio Management in Market Downturns) || Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability

Alcock, Jamie, Satchell, Stephen

Year:

2018

Language:

english

File:

PDF, 420 KB

english, 2018

23

A critique of momentum strategies

Gao, Yang, Leung, Henry, Satchell, Stephen

Journal:

Journal of Asset Management

Year:

2018

Language:

english

File:

PDF, 669 KB

english, 2018

24

What Proportion of Time is a Particular Market Inefficient? … A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions

Ahmed, Muhammad Farid, Satchell, Stephen

Journal:

Journal of Time Series Econometrics

Language:

english

File:

PDF, 459 KB

english

25

Large deviations theorems for optimal investment problems with large portfolios

Ba Chu, John Knight, Stephen Satchell

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 1.72 MB

english, 2011

26

Social welfare issues of financial literacy and their implications for regulation

Oliver J. Williams, Stephen E. Satchell

Journal:

Journal of Regulatory Economics

Year:

2011

Language:

english

File:

PDF, 882 KB

english, 2011

27

Testing for infinite order stochastic dominance with applications to finance, risk and income inequality

John Knight, Stephen Satchell

Journal:

Journal of Economics and Finance

Year:

2008

Language:

english

File:

PDF, 170 KB

english, 2008

28

Time to default in the UK mortgage market

Bart Lambrecht, William Perraudin, Stephen Satchell

Journal:

Economic Modelling

Year:

1997

Language:

english

File:

PDF, 819 KB

english, 1997

29

Statistical properties of the sample semi-variance

Bond, Shaun A., Satchell, Stephen E.

Journal:

Applied Mathematical Finance

Year:

2002

Language:

english

File:

PDF, 699 KB

english, 2002

30

INTERNATIONAL INVESTORS' EXPOSURE TO RISK IN EMERGING MARKETS

Eftekhari, Babak, Satchell, Stephen E.

Journal:

Journal of Financial Research

Year:

1999

Language:

english

File:

PDF, 2.00 MB

english, 1999

31

Property company performance and real interest rates: a regime-switching approach

Lizieri, Colin, Satchell, Stephen

Journal:

Journal of Property Research

Year:

1997

Language:

english

File:

PDF, 160 KB

english, 1997

32

Simple and cross efficiency of CTAs using data envelopment analysis

Gregoriou, Greg N., Rouah, Fabrice, Satchell, Stephen, Diz, Fernando

Journal:

European Journal of Finance

Year:

2005

Language:

english

File:

PDF, 132 KB

english, 2005

33

Exponential risk measure with application to UK asset allocation

Satchell, Stephen E., Damant, David C., Hwang, Soosung

Journal:

Applied Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 511 KB

english, 2000

34

Forecast Evaluation in the Presence of Unobserved Volatility

Christodoulakis, George A., Satchell, Stephen E.

Journal:

Econometric Reviews

Year:

2005

Language:

english

File:

PDF, 340 KB

english, 2005

35

On the foundation of performance measures under asymmetric returns

Pedersen, Christian S, Satchell, Stephen E

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 121 KB

english, 2002

36

Financial competence, risk presentation and retirement portfolio preferences

BATEMAN, HAZEL, ECKERT, CHRISTINE, GEWEKE, JOHN, LOUVIERE, JORDAN, SATCHELL, STEPHEN, THORP, SUSAN

Journal:

Journal of Pension Economics and Finance

Year:

2014

Language:

english

File:

PDF, 584 KB

english, 2014

37

The Analytics of Risk Model Validation || Analytic models of the ROC Curve

Satchel, Stephen

Year:

2008

Language:

english

File:

PDF, 566 KB

english, 2008

38

An Extended Family of Financial-Risk Measures

CHRISTIAN S. PEDERSEN and STEPHEN E. SATCHELL

Journal:

The GENEVA Papers on Risk and Insurance - Theory

Year:

1998

Language:

english

File:

PDF, 1.66 MB

english, 1998

39

A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices

Knight, John, Satchell, Stephen

Journal:

Applied Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 425 KB

english, 2005

40

Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios

Knight, John L, Satchell, Stephen E.

Journal:

Econometric Theory

Year:

1997

Language:

english

File:

PDF, 682 KB

english, 1997

41

Derivatives and Hedge Funds ||

Satchell, Stephen

Year:

2016

Language:

english

File:

PDF, 1.99 MB

english, 2016

42

Value at risk linear exponent (VARLINEX) forecasts

Knight, John, Satchell, Stephen, Wang, Guoqiang

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 520 KB

english, 2003

43

The Bernstein Copula and Its Applications to Modeling and Approximations of Multivariate Distributions

Alessio Sancetta and Stephen Satchell

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 2.51 MB

english, 2004

44

The Variance of Property Returns: Some Problems of Time‐Weighted Measures

Lizieri, Colin, Satchell, Stephen

Journal:

Journal of Property Valuation and Investment

Year:

1992

Language:

english

File:

PDF, 330 KB

english, 1992

45

Investigating the benefits of mutuality: Mutual versus proprietary annuity provision

Richard Lewin,Stephen Satchell

Journal:

Pensions An International Journal

Year:

2001

Language:

english

File:

PDF, 308 KB

english, 2001

46

Asymmetric Dependence in Finance (Diversification, Correlation and Portfolio Management in Market Downturns) || Estimating Asymmetric Dynamic Distributions in High Dimensions

Alcock, Jamie, Satchell, Stephen

Year:

2018

Language:

english

File:

PDF, 704 KB

english, 2018

47

Managing Downside Risk in Financial Markets || Lower partial-moment capital asset pricing models

Satchell, Stephen E.

Year:

2001

Language:

english

File:

PDF, 120 KB

english, 2001

48

Partial Moment Momentum

Gao, Yang, Leung, Henry, Satchell, Stephen E.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 405 KB

english, 2017

49

The analytics of momentum

Kwon, Oh Kang, Satchell, Stephen

Journal:

Journal of Asset Management

Year:

2019

Language:

english

File:

PDF, 1.96 MB

english, 2019

50

âIn Defense of Portfolio Optimization: What If We Can Forecast?â: Author Response

Allen, David, Lizieri, Colin, Satchell, Stephen

Journal:

Financial Analysts Journal

Year:

2020

File:

PDF, 397 KB

2020

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