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Dr. Stephen Ellwood Satchell

Sydney University, Australia

Email: ses999gb@yahoo.co.uk


1976 Ph.D., University of London

1972 M.A., University of Sydney

1965 B.A., University of New South Wales

Publications (Selected)

  1. Financial Competence and Expectations Formation: Evidence from Australia, (with H. Bateman, C. Eckert, J. Louviere, and S. Thorp), Economic Record, Vol. 88, No. 280, pp. 39-63, March 2012.
  2. Unsmoothing Real Estate Returns: A Regime-Switching Approach, (with C. Lizieri and W. Wongwachara) forthcoming in Real Estate Economics. 40(4).
  3. Large deviations theorems for optimal investment problems with large portfolios, (with B. Chu and J. Knight), European Journal of Operations Research, Vol. 211, No. 3, pp. 533-555, June 2011.
  4. Some New Results for Threshold AR(1) Models, (with J. Knight), in the Journal of Time Series Econometrics. Vol. 3, No. 2, Article 1. DOI: 10.2202/1941-1928.1085.
  5. Stability Conditions for Heteroscedastic Factor Models with Conditionally Autoregressive Betas, (with G. Christodoulakis), in the Journal of Time Series Analysis, DOI: 10.1111/j.1467-9892.2010.00706.x, Article first published online: 10 January, 2011.
  6. Social Welfare Issues of Financial Literacy and Their Implications for Regulation, (with O. Williams), in Journal of Regulatory Economics, Online first: 21 April, 2011.
  7. Uncertain Survival and Time Discounting: Intertemporal Consumption Plans for Family Trusts, (with S. Thorp), in Journal of Population Economics, 24, pp. 239-266, 2011.
  8. Hedge Fund Replication, (with J. Grummit), in Journal of Derivatives and Hedge Funds, pp. 1-18, 2011.
  9. Managing the Risk of Hedge Fund Outflows, (with B. Scherer), in Journal of. Alternative Investments, Fall, Vol. 14, No. 2, pp. 18-23, 2011.
  10. Asset Allocation and a Time-varying Risk Target, (with R.Chen and J.Luo), in QASS, Vol. 4, No. 2, pp.1-28.
  11. An Experimental Survey of Investment Decisions for Retirement Savings, (with H. Bateman, J. Louviere, S. Thorp, and T. Islam), in Journal of Consumer Affairs, Vol. 44, No. 3, pp.463-482.
  12. The Dangers of Double-Marking, (with J. Pratt), in Higher Education Review, Vol. 42, No. 2, Spring 2010.
  13. Understanding Analysts’ Forecasts, (with R. J. Louth, P. Joos, and G. Weyns), in European Journal of Finance, 16(1-2), pp. 97-118, 2010.
  14. Forecasting Risk and Return from Ordered Information (Lessons from the Recent Financial Crisis), (with S. M. Wright), in Economic and Financial Modeling, pp. 3-37, spring, 2010.
  15. Optimal Investment and Asymmetric Risk: A Large Deviations Approach, (with John Knight and Stephen E. Satchell), Optimization: A Journal of Mathematical Programming and Operations Research, Vol. 59, No. 1, pp.3–27, January 2010.
  16. Fairness in Trading-a Microeconomic Interpretation, (with B. Scherer), in Journal of Trading, pp. 1-8, winter 2009.
  17. On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options, (with T.Darsinos), in QASS, Vol. 3, No. 2, pp. 69-114, 2009.
  18. Implementing risk appetite in the management of currency portfolios, (with Jinhui Luo and Philip Saks), in Journal of Asset Management, Vol. 9, No. 6, pp. 380-397, 2009.
  19. The Link between Macroeconomic Factors and Style Returns, (with Qi Jessica Zhang, Peter Hopkins, and Robert Schwob), in Journal of Asset Management, Vol. 10, No. 5, pp. 338-355, 2009.
  20. Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality, (with J. Knight), in Journal of Economics and Finance, Vol. 32, No.1, pp. 35-46, 2008.
  21. Endogenous Cross Correlation, (with J.H.S. Yang), DAE Working Paper 0219, Macro-economic Dynamics, Vol. 11, No. 1, pp. 124-153, 2007.
  22. The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis, (with C.M.Lizieri and Q.Zhang), in Journal of Real Estate Economics, 35(4), pp. 567-596, 2007.
  23. Skew Brownian Motion and Pricing European Options, (with R.Corns), in European Journal of Finance, 13(6), pp. 523-544, 2007.
  24. Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines, (with A. Sancetta), in Applied Mathematical Finance, Vol. 14, No. 3, pp. 227-242, 2007.

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