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Stephen Satchell

Photo of Stephen Satchell

BA UNSW; MA Sydney; MCom UNSW; Ph.D. London; MA Cambridge; Ph.D Cambridge; FIA (Institute of Actuaries)
Professor

Rm 419
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 6453
Fax +61 2 9351 6461
ses999gb@yahoo.co.uk

Bio

Stephen is working on a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory. He has an interest in both theoretical and empirical problems. Many of his research problems are motivated by practical investment issues. Stephens' current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. He is active in researching the UK mortgage and housing markets.

Stephen has strong links with Inquire (Institute for Quantitative Investment Research). This is a city-based organization that finances academic research on quantitative investment. He is also on the management committee of LQG (London Quant Group).

Stephen is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

Selected publications

2018

Journal Articles

Ahmed M, and Satchell S (2018) What Proportion of Time is a particular Market Inefficient? A Method for analysing the frequency of market efficiency when equity prices follow Threshold Autoregression Journal of Time Series Econometrics, 10 (2), 1-22. [More Information]

Ahmed M, and Satchell S (2018) What proportion of time is a particular market inefficient? ... A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions Journal of Time Series Econometrics, 10 (2). [More Information]

Ainsworth A, Corbett A, and Satchell S (2018) Psychic dividends of socially responsible investment portfolios Journal of Asset Management, 19 (3), 179-190. [More Information]

Bateman H, Eckert C, Iskhakov F, Louviere J, Satchell S, and Thorp S (2018) Individual Capability and Effort in Retirement Benefit Choice Journal of Risk and Insurance, 85 (2), 483-512. [More Information]

Gao Y, Leung H, and Satchell S (2018) A critique of momentum strategies Journal of Asset Management, 19 (5), 341-350. [More Information]

Satchell S, and Lundin M (2018) Risk discriminating portfolio Optimization Quantitative Finance, In Press.

Books

Alcock J, and Satchell S (2018) Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex. [More Information]

Stanyer P, and Satchell S (2018) Guide To Investment Strategy; Profile Books, London.

Book Chapters

Ahmed S, Srivastava N, and Satchell S (2018) Misspecifications in an Asymmetrically Dependent World: Implications for Volatility Forecasting Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex, 75-109. [More Information]

Chu B, and Satchell S (2018) The Most Entropic Copula with an Application to Style Investment Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex, 221-262. [More Information]

Satchell S, and Lundin M (2018) Orthant probability-based correlation Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex, 133-151. [More Information]

Satchell S, and Williams O (2018) The Size of the CTA Market and the role of Asymmetric Dependence Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, West Sussex, 17-46. [More Information]

2017

Journal Article

Bateman H, Eckert C, Iskhakov F, Louviere J, Satchell S, and Thorp S (2017) Default and naive diversification heuristics in annuity choice Australian Journal of Management, 42 (1), 32-57. [More Information]

Reports

Partington G, and Satchell S (2017) Report to the AER: Discussion of estimates of the returns on equity.

Partington G, and Satchell S (2017) Report to the AER: Issues in re-levering beta and testing for structural breaks.

Partington G, and Satchell S (2017) Report to the AER: Discussion of submissions on the cost of equity.

2016

Journal Articles

Bateman H, Eckert C, Geweke J, Louviere J, Satchell S, and Thorp S (2016) Risk Presentation and Portfolio Choice Review of Finance, 20 (1), 201-229. [More Information]

Chu B, and Satchell S (2016) Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence Econometrics, 4 (2), 1-21. [More Information]

Grant A, and Satchell S (2016) Theoretical decompositions of the cross-sectional dispersion of stock returns Quantitative Finance, 16 (2), 169-180. [More Information]

Hong K, Satchell S, and Knight J (2016) Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed Bankers, Markets and Investors, 144, 20-30.

Lundin M, and Satchell S (2016) Risk management for return enhancement Risk, 1-6.

Malloch H, Philip R, and Satchell S (2016) Decomposing the bias in time-series estimates of CAPM betas Applied Economics, 48 (45), 4291-4298. [More Information]

Books

Satchell S (2016) Derivatives and Hedge Funds; Palgrave Macmillan, Houndmills. [More Information]

Satchell S (2016) Asset Management: Portfolio Construction, Performance and Returns; Palgrave Macmillan, Basel, Switzerland. [More Information]

Book Chapter

Satchell S (2016) Preface Derivatives and Hedge Funds; Palgrave Macmillan, Houndmills. [More Information]

Report

Alcock J, Andrlikova P, Aspris A, Foley S, Satchell S, Segara R, Wright D, and Yao J (2016) Asset price bubbles in the Australian Market; The Centre for International Finance and Regulation, Sydney, 4-154.

2015

Journal Articles

Hall A, Satchell S, and Spence P (2015) Evaluating the Impact of Inequality Constraints and Parameter Uncertainty on Optimal Portfolio Choice Applied Economics, 47 (45), 4801-4813. [More Information]

Hong K, and Satchell S (2015) Time series momentum trading strategy and autocorrelation amplification Quantitative Finance, 15 (9), 1471-1487. [More Information]

Reza Bradrania M, Peat M, and Satchell S (2015) Liquidity costs, idiosyncratic volatility and expected stock returns International Review of Financial Analysis, 42, 394-406. [More Information]

Satchell S, and Williams O (2015) On the Difficulty of Measuring Forecasting Skill in Financial Markets Journal of Forecasting, 34 (2), 92-113. [More Information]

Book Chapter

Muijsson C, Fishwick E, and Satchell S (2015) The Low Beta Anomaly and Interest Rates Risk-Based and Factor Investing; Elsevier, Oxford, 305-328. [More Information]

2014

Journal Articles

Bateman H, Eckert C, Geweke J, Louviere J, Satchell S, and Thorp S (2014) Financial competence, risk presentation and retirement portfolio preferences Journal of Pension Economics and Finance, 13 (1), 27-61. [More Information]

Golosov E, and Satchell S (2014) Modeling Style Rotation: Switching and Re-Switching Journal of Time Series Econometrics, 6 (2), 103-128. [More Information]

Hong K, and Satchell S (2014) The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process European Journal of Finance, 20 (3), 264-290. [More Information]

Hwang S, and Satchell S (2014) Testing linear factor models on individual stocks using the average F-test European Journal of Finance, 20 (5), 463-498. [More Information]

Knight J, Satchell S, and Srivastava N (2014) Steady state distributions for models of locally explosive regimes: Existence and econometric implications Economic Modelling, 41, 281-288. [More Information]

Louth R, Satchell S, and Wongwachara W (2014) Is Rating Associated with Better Retail Funds' Performance in Changing Market Conditions? Bankers, Markets and Investors, 132 (Sep-Oct 2014), 4-24.

McKenzie M, Satchell S, and Wongwachara W (2014) Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing Journal of Empirical Finance, 28, 215-229. [More Information]

Book

Rudd A, and Satchell S (2014) Quantitative Approaches to High Net Worth Investment; Risk Books, London.

Book Chapters

Satchell S, and Srivastava N (2014) Microeconomics of art: Art, luxury goods and risk Risk and Uncertainty in the Art World; Bloomsbury, London, United Kingdom, 187-218. [More Information]

Satchell S, and Srivastava N (2014) High Net Worth Consumption: the Role of Luxury Goods Quantitative Approaches to High Net Worth Investment; Risk Books, London, 201-230.

Satchell S, and Thorp S (2014) Modelling Sustainable Spending Plans for Family Offices, Foundations and Trusts Quantitative Approaches to High Net Worth Investment; Risk Books, London, 231-268.

Report

Burckhardt P, Ahmed S, and Satchell S (2014) What factors drive the US labour market?; e-fundresearch.com.

2013

Journal Articles

Frino A, Satchell S, Wong B, and Zheng H (2013) How much does an Illegal Insider Trade? International Review of Finance, 13 (2), 241-263. [More Information]

Hall A, and Satchell S (2013) The anatomy of portfolio skewness and kurtosis Journal of Asset Management, 14 (4), 228-235. [More Information]

Knight J, Satchell S, and Zhang J (2013) Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models Journal of Mathematical Finance, 3 (1A), 230-236. [More Information]

2012

Journal Articles

Bateman H, Eckert C, Geweke J, Louviere J, Thorp S, and Satchell S (2012) Financial Competence and Expectations Formation: Evidence from Australia Economic Record, 88 (280), 39-63. [More Information]

Cho Y, Hwang S, and Satchell S (2012) The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate Journal of Real Estate Finance and Economics, 45 (3), 645-677. [More Information]

Lizieri C, Satchell S, and Wongwachara W (2012) Unsmoothing Real Estate Returns: A Regime-Switching Approach Real Estate Economics, 40 (4), 775-807. [More Information]

McKenzie M, Satchell S, and Wongwachara W (2012) Nonlinearity and smoothing in venture capital performance data Journal of Empirical Finance, 19 (5), 782-795. [More Information]

Satchell S (2012) An assessment of the social desirability of high-frequency trading JASSA, 3 (3), 7-11.

Satchell S (2012) Discussion on “Log-optimal economic evaluation of probability forecasts�? by David Johnstone Journal of the Royal Statistical Society Series A-Statistics in Society, 175 (3), 681-84.

Reports

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Reexamination | Working Paper 2 Private Commercial Real Estate Returns and the Valuation Process; Investment Property Forum, London, 6-42.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-Examination: Summary Report; Investment Property Forum, London, 6-22.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-examination | Working Paper 4 Real Estate Returns and Financial Assets in Extreme Markets; Investment Property Forum, London, 6-28.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-examination | Working Paper 3 Time Varying Influences on Real Estate Returns; Investment Property Forum, London, 6-37.

2011

Journal Articles

Bateman H, Islam T, Louviere J, Satchell S, and Thorp S (2011) Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence Journal of Behavioral Finance, 12 (4), 201-218. [More Information]

Christodoulakis G, and Satchell S (2011) Stability conditions for heteroscedastic factor models with conditionally autoregressive betas Journal of Time Series Analysis, 32 (5), 482-497. [More Information]

Chu B, Knight J, and Satchell S (2011) Large deviations theorems for optimal investment problems with large portfolios European Journal of Operational Research, 211 (3), 533-555. [More Information]

Knight J, and Satchell S (2011) Some New Results for Threshold AR(1) Models Journal of Time Series Econometrics, 3 (2), 1-40. [More Information]

Satchell S, and Thorp S (2011) Uncertain survival and time discounting: intertemporal consumption plans for family trusts Journal of Population Economics, 24 (1), 239-266. [More Information]

Williams O, and Satchell S (2011) Social welfare issues of financial literacy and their implications for regulation Journal of Regulatory Economics, 40 (1), 1-40. [More Information]

2010

Journal Articles

Bateman H, Louviere J, Thorp S, Islam T, and Satchell S (2010) Investment Decisions for Retirement Savings Journal of Consumer Affairs, 44 (3), 463-482. [More Information]

Chu B, Knight J, and Satchell S (2010) Optimal investment and asymmetric risk: a large deviations approach Optimization, 59 (1), 3-27. [More Information]

Corns T, and Satchell S (2010) Modelling conditional heteroskedasticity and skewness using the skew-normal distribution one-sided coverage intervals with survey data Metron - International Journal of Statistics, 68 (3), 251-263.

Hwang S, and Satchell S (2010) How loss averse are investors in financial markets? Journal of Banking & Finance, 34 (10), 2425-2438. [More Information]

Knight J, and Satchell S (2010) Exact properties of measures of optimal investment for benchmarked portfolios Quantitative Finance, 10 (5), 495-502. [More Information]

Louth R, Joos P, Satchell S, and Weyns G (2010) Understanding analysts forecasts European Journal of Finance, 16 (2), 97-118. [More Information]

Luo J, Satchell S, and Chen R (2010) Asset Allocation and a Time-varying Risk Target Quantitative and Qualitative Analysis in Social Sciences, 4 (2), 1-28.

Satchell S (2010) Quantitative Finance Quantitative Finance.

Satchell S (2010) Journal of Asset Management Journal of Asset Management.

Satchell S (2010) Journal of Derivatives & Hedge Funds Journal of Derivatives and Hedge Funds.

Satchell S, and Pratt J (2010) The Dubiety of Double Marking Higher Education Review, 42 (2), 59-62.

Satchell S, and Scherer B (2010) Fairness in Trading: A Microeconomic Interpretation Journal of Trading, 5 (1), 40-47. [More Information]

Satchell S, and Wright S (2010) Forecasting Risk and Return from Order Information Economic and Financial Modelling, Spring 2010, 3-37.

Book Chapters

Hall A, and Satchell S (2010) Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity Optimizing Optimization: The Next Generation of Optimization Applications and Theory; Academic Press, Boston, 179-199.

Knight J, and Satchell S (2010) Some Properties of Averaging Simulated Optimization Methods Optimizing Optimization: The Next Generation of Optimization Applications and Theory; Academic Press, Boston, 225-246.

2009

Journal Articles

Darsinos T, and Satchell S (2009) The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options Quantitative and Qualitative Analysis in Social Sciences, 3 (2), 69-114.

Luo J, Saks P, and Satchell S (2009) Implementing risk appetite in the management of currency portfolios Journal of Asset Management, 9 (6), 380-397. [More Information]

Satchell S, Lewin R, and Sardy M (2009) Emerging From an Economic Crisis: Why Equity-Only Portfolios Remain a Bad Idea Research in Business and Economics Journal.

Zhang Q, Hopkins P, Satchell S, and Schwob R (2009) The link between macro-economic factors and style returns Journal of Asset Management, 10 (5), 338-355. [More Information]

Books

Satchell S (2009) Optimizing Optimization: The Next Generation of Optimization Applications and Theory; Academic Press, Boston. [More Information]

Satchell S (2009) Collectible Investments for the High Net Worth Investor; Academic Press, Burlington, MA. [More Information]

Book Chapters

Satchell S (2009) Preface Collectible Investments for the High Net Worth Investor; Academic Press, Burlington, MA, vii-x. [More Information]

Satchell S, and Auld J (2009) Collecting and Investing in Stamps Collectible Investments for the High Net Worth Investor; Academic Press, Burlington, MA, 215-230.

Newspaper Articles

Satchell S (2009) Fund Management Ratings Investment Week .

Satchell S (2009) Des Rating Qualitatifs por regagner le confiance des investisseurs AGEFI Magazine .

Report

Satchell S, and Scherer B (2009) Fairness in Trading - A Microeconomic Interpretation.

2008

Journal Articles

Christodoulakis G, and Satchell S (2008) The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks Journal of Risk Model Validation, 2 (3), 45-58.

Knight J, and Satchell S (2008) Testing for infinite order stochastic dominance with applications to finance, risk and income inequality Journal of Economics and Finance, 32 (1), 35-46. [More Information]

2007

Journal Articles

Bond S, Hwang S, Mitchell P, and Satchell S (2007) Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios? Not likely The Journal of Portfolio Management, 33 (5), 74-84. [More Information]

Corns T, and Satchell S (2007) Skew Brownian Motion and Pricing European Options European Journal of Finance, 13 (6), 523-544. [More Information]

Davies G, and Satchell S (2007) The behavioural components of risk aversion Journal of Mathematical Psychology, 51 (1), 1-13. [More Information]

Hwang S, and Satchell S (2007) The disappearance of style in the US equity market Applied Financial Economics, 17 (8), 597-613. [More Information]

Hwang S, Satchell S, and Valls Pereira P (2007) How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models Journal of Business Finance and Accounting, 34 (5-6), 1002-1024. [More Information]

Lizieri C, Satchell S, and Zhang Q (2007) The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis Real Estate Economics, 35 (4), 569-598. [More Information]

Sancetta A, and Satchell S (2007) Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines Applied Mathematical Finance, 14 (3), 227-242. [More Information]

Satchell S, and Williams O (2007) The Best of Intentions? The Allocation of Resources between Large and Small Subjects Higher Education Review, 39 (2), 65-73.

Satchell S, and Xia W (2007) Analytic models of the receiver operating characteristic curve: Applications to credit rating model validation Journal of Risk Management in Financial Institutions, 1 (1), 90-106.

Satchell S, and Yang S (2007) Endogenous Cross Correlations Macroeconomic Dynamics, 11 (Supplement 1), 124-153. [More Information]

Books

Christodoulakis G, and Satchell S (2007) The Analytics of Risk Model Validation; Academic Press, United States. [More Information]

Satchell S (2007) Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Conference Proceeding

Lewin R, Sardy M, and Satchell S (2007) Liquidity Management: Enhancing Available Returns From Short-term Client Funds 34th Annual Academy of Economics and Finance Conference AEF 2007; Academy of Economics and Finance, United States.

Book Chapters

Christodoulakis G, and Satchell S (2007) The Validity of Credit Risk Model Validation Methods The Analytics of Risk Model Validation; Academic Press, United States, 27-44. [More Information]

Darsinos T, and Satchell S (2007) Bayesian Analysis of the Black-Scholes Option Price Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Darsinos T, and Satchell S (2007) Bayesian Forecasting Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Koutsoyannis C, and Satchell S (2007) Robust Optimisation for Utilising Forecasted Returns in Institutional Investment Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Satchell S (2007) The Validation of the Equity Portfolio Risk Models The Analytics of Risk Model Validation; Academic Press, United States, 135-148. [More Information]

Satchell S, and Xia W (2007) Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation The Analytics of Risk Model Validation; Academic Press, United States, 113-134. [More Information]

Scowcroft A, and Satchell S (2007) A demystification of the Black? Litterman model: Managing quantitative and traditional portfolio construction Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Williams O, and Satchell S (2007) The Hidden Binomial Economy and The Role of Forecasts in Determining Prices Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Williams O, and Satchell S (2007) Optimal Forecasting Horizon for Skilled Investors Forecasting Expected Returns in the Financial Markets; Academic Press, London. [More Information]

Wright S, and Satchell S (2007) Some choices in forecast construction Forecasting Expected Returns in the Financial Markets; Academic Press, London, 101-116. [More Information]

2006

Journal Articles

Bond S, and Satchell S (2006) Asymmetry, Loss Aversion, and Forecasting The Journal of Business (Chicago), 79 (4), 1809-1830. [More Information]

Bond S, and Satchell S (2006) Asymmetry and Downside Risk in Foreign Exchange Markets European Journal of Finance, 12 (4), 313-332. [More Information]

Satchell S, and Bond S (2006) Asymmetry, Loss Aversion and Forecasting The Journal of Business (Chicago), 79 (4), 1809-1830. [More Information]

Book Chapter

Lewin R, Sardy M, and Satchell S (2006) UK Measures of Firm-Lived Equity Duration Value Creation in Multinational Enterprise: International Finance Review Volume 7; Emerald Group Publishing, United Kingdom, 307-338.

Newspaper Articles

Satchell S, and Xia W (2006) A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor Life & Pensions .

Satchell S, and Xia W (2006) Estimation of the Risk Aversion of the Representative U.K. Pension Fund Investor Life and Pensions: A Matter of Attitude December 2006.

2005

Journal Articles

Gregoriou G, Rouah F, Satchell S, and Diz F (2005) Simple and Cross Efficiency of CTAs Using Data Envelopment Analysis European Journal of Finance, 11 (5), 393-409. [More Information]

Gregoriou G, Rouah F, Satchell S, and Diz F (2005) Simple and cross efficiency of CTAs using data envelopment analysis European Journal of Finance, 11 (5), 393-409. [More Information]

Hwang S, and Satchell S (2005) Valuing Information Using Utility Functions: How much Should we Pay for Linear Factor Models? European Journal of Finance, 11 (1), 1-16. [More Information]

Hwang S, and Satchell S (2005) GARCH model with cross-sectional volatility: GARCHX models Applied Financial Economics, 15 (3), 203-216. [More Information]

Knight J, and Satchell S (2005) A Re-Examination of Sharpe's Ratio for Log-Normal Prices Applied Mathematical Finance, 12 (1), 87-100. [More Information]

Knight J, and Satchell S (2005) A Re-Examination of Sharpe’s Ratio for Log-Normal Prices Applied Mathematical Finance, 12 (1), 87-100. [More Information]

Knight J, Lizieri C, and Satchell S (2005) Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets Journal of Property Research, 22 (4), 309-323. [More Information]

Sancetta A, and Satchell S (2005) New Test Statistics for Market Timing with Applications to Emerging Markets Hedge Funds European Journal of Finance, 11 (5), 419-443. [More Information]

Satchell S (2005) Editor - Special Issue: Hedge Funds European Journal of Finance, 11 (5), 359-359. [More Information]

Satchell S (2005) The European Journal of Finance European Journal of Finance, 11 (5).

Satchell S, and Wright S (2005) A Robust Cross-sectional Factor Modelling Approach to Equity Forecast Construction Economic and Financial Modelling, 12 (4), 153-182.

Book Chapter

Satchell S (2005) The Small Noise Arbitrage Pricing Theory Linear Factor Models in Finance; Butterworth Heinemann, United Kingdom.

2004

Journal Articles

Christodoulakis G, and Satchell S (2004) Forecast Evaluation in the Presence of Unobserved Volatility Econometric Reviews, 23 (3), 175-198. [More Information]

Darsinos T, and Satchell S (2004) Measuring style tilting and decomposing style risk Journal of Asset Management, 5 (1), 64-71.

Sancetta A, and Satchell S (2004) The Bernstein Copula and its Applications to Modeling and Approximations of Multivariate Distributions Econometric Theory, 20 (3), 535-562. [More Information]

Sancetta A, and Satchell S (2004) Calculating hedge fund risk: the draw down and the maximum draw down Applied Mathematical Finance, 11 (3), 259-282. [More Information]

Satchell S, and Lewin R (2004) Treasury Management of Core Banking Deposits Journal of Bond Trading and Management, 2 (2).

Book

Knight J, and Satchell S (2004) Linear Factor Models in Finance; Butterworth Heinemann, United Kingdom.

Book Chapters

Darsinos T, and Satchell S (2004) Bayesian estimation of Risk-Premia in an APT context Linear Factor Models in Finance; Butterworth Heinemann, United Kingdom.

Lande G, Sancetta A, and Satchell S (2004) Drawdown as a Measure of Hedge Fund Risk: Some Stylized Facts Hedge Funds: Strategies, Risk Assessment, and Returns; Beard Books, United States, 235-246.

Newspaper Articles

Darsinos T, and Satchell S (2004) Generalising universal performance measures Risk Magazine .

Satchell S (2004) Data Pooling: a necessity for the majority of UK mortgage lenders Credit Risk International: June 2004 .

2003

Journal Articles

Knight J, Satchell S, and Wang G (2003) Value at risk linear exponent (VARLINEX) forecasts Quantitative Finance, 3 (4), 332-344. [More Information]

Lambrecht B, Perraudin W, and Satchell S (2003) Mortgage Default and Possession under Recourse: A Competing Hazards Approach Journal of Money, Credit and Banking, 35 (3), 425-442. [More Information]

Pedersen C, and Satchell S (2003) Utility Functions Whose Parameters Depend on Initial Wealth Bulletin of Economic Research, 55 (4), 357-371.

Pedersen C, and Satchell S (2003) Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts? European Journal of Finance, 9 (3), 273-289. [More Information]

Book

Satchell S, and Scowcroft A (2003) Advances in Portfolio Construction and Implementation; Butterworth Heinemann, United Kingdom.

Book Chapters

Hillier G, and Satchell S (2003) Some Exact Results for Efficient Portfolios with Given Returns Advances in Portfolio Construction and Implementation; Butterworth Heinemann, United Kingdom, 310-325.

Hwang S, Satchell S, and Wright S (2003) Assessing the Merits of Rank-based Optimization for Portfolio Construction Advances in Portfolio Construction and Implementation; Butterworth Heinemann, United Kingdom, 269-289.

Randall J, and Satchell S (2003) An Analysis of the Hedging Approach to Modelling Pension Fund Liabilities Asset and Liability Management Tools: A Handbook for Best Practice; Risk Books, United Kingdom.

Wright S, and Satchell S (2003) Generalized Mean-Variance Analysis and Robust Portfolio Diversification Advances in Portfolio Construction and Implementation; Butterworth Heinemann, United Kingdom, 40-54.

Selected grants