The log of the price of a share is commonly modelled as a Brownian motion with drift, σ B t +
ct, where the constants c and σ are unknown. In order to use the Black-Scholes option …

The purpose of this paper is to assess the incremental value of higher moments in modelling
capital asset pricing models (CAPMs) of emerging markets. Whilst it is recognized that …

We challenge the academic consensus that estimation error makes mean–variance portfolio
strategies inferior to passive equal-weighted approaches. We demonstrate analytically, via …

… 3 A demystification of the Black–Litterman model: managing quantitative and traditional
portfolio construction Stephen Satchell and Alan Scowcroft Abstract The purpose of this paper is …

The purpose of this article is to provide a straightforward model for asset returns which captures
the fundamental asymmetry in upward versus downward returns. We model this feature …

We define the Bernstein copula and study its statistical properties in terms of both distributions
and densities. We also develop a theory of approximation for multivariate distributions in …

… In Chapter 9, Stephen Satchell expands the class of asset pricing models based on lower-partial
moments and presents a unifying structure for these models. Stephen derives some …

… Editors John Knight and Stephen Satchell have brought together an impressive array of
contributors who present research from their area of specialization related to volatility forecasting…

… It is the purpose of this paper to describe a procedure put forward by Rogers and Satchell
(l991)… Satchell method can estimate it even though the expected return is non-constant. This is …

Although the time variation of the conditional correlations of asset returns is a well established
stylized fact (and of crucial importance for efficient financial decisions) there is no explicit …