Dr. Christian S. Pedersen: Publications
Here follows a list of my published papers, working papers, conference papers and the papers I am currently working on.
By clicking on the titles, the papers can be downloaded in Acrobat format.
Publications
Derivatives and Downside Risk , Derivatives Use, Trading and Regulation (forthcoming).
Small Sample Analysis of Performance Measures
in the Asymmetric Response Model
(with S. Satchell), Journal of Financial and Quantitative Analysis, (September 2000) 35(3), 425-430.
On the Volatility of Measures of Financial Risk:
An Investigation Using Returns From
European Markets (with B. Eftekhari and
S. Satchell), The European Journal of Finance (2000).
An Extended Family of Financial-Risk Measures
(with S. Satchell), Geneva Papers on Risk
and Insurance: Theory (1998) 23, pp. 89-117.
Choosing the Right Measure of Risk: A Survey
(with S. Satchell), in "The Current State of Economic
Science", 1998, edited by Professor Dr. S. B. Dahiya.
A Comparison of the Likely Causes of Asian and US
Crashes, and Implications for Policy Reform and the
Modelling of Extreme Events
(with S. Satchell), Politics, Administration and
Change, No. 29, January-June 1998, pages 1-17.
Separating Risk and Return in the CAPM:
A General Utility-based Approach ,
European Journal of Operational Research,
1998.
Working Papers
Small Sample Analysis of Performance Measures
in the Asymmetric Response Model
(with S. Satchell), IFR Discussion Paper Series,
Birkbeck College, London, 1999 (forthcoming).
Performance Measurement with Asymmetric Return
Distributions: A Defense of the Sortino Ratio
(with S. Satchell), Birkbeck Discussion Paper Series
in Financial Economics, 1999 (forthcoming).
Separating Risk and Return in the CAPM:
A General Utility-based Approach ,
Cambridge Discussion Papers in Accounting
and Finance, AF39, 1998.
Empirical Tests for Differences in Equilibrium
Risk Measures with Application to Downside Risk
in Small and Large UK Companies ,
Cambridge Discussion Papers in Accounting
and Finance, No. 41, 1998.
Utility Functions with Parameters Depending
on Initial Wealth
(with S. Satchell), DAE Working Paper,
Amalgamated Series No. 9819, Cambridge University,
1998. Currently under review at the Review of Economic Studies .
Risk, Utility and Switching Between Gambles ,
(with S. Satchell), DAE Working Paper, Amalgamated Series No. 9735,
Cambridge University, 1997.
An Extended Family of Financial-Risk Measures ,
(with S. Satchell),DAE Working Paper,
Amalgamated Series No. 9623, Cambridge University,
1996.
Conference Proceedings / Presented Papers
Separating Risk and Return in the CAPM:
A General Utility-based Approach ,
Annual Conference of the Institute for
Operational Research and Management Science
(InfORMS), Cincinatti, May 1999.
Utility Functions with Parameters Depending
on Initial Wealth (with S. Satchell),
Annual Conference of the Institute for
Operational Research and Management Science
(InfORMS), Cincinatti, May 1999.
Symmetric Versus Asymmetric Risk:
An Empirical Test ,
The Sixth International Conference on
Forecasting Financial Markets: Advances for
Exchange Rates, Interest Rates and
Asset Management, London, May 1999. Also in the
Proceedings of The Third International Stockholm
Seminar on Risk Behaviour and Risk Management,
14-16 June 1999, where it was awarded the prize
(SEK 25.000) for the best paper in it's session.
Evaluating the Performance of Nearest Neighbour Algorithms when Forecasting US Industry Returns (with S. Satchell), Financial Econometrics Research Centre (FERC) Discussion Paper, City University Business School, London, UK (forthcoming). Currently under review at Financial Analysts Journal.
Other Papers under Review
On the Characterisation of Investor
Preferences by Changes in Wealth
(with S. Satchell). Currently under review at
The Geneva Papers on Risk and Insurance Theory .
Asymmetric Equilibrium Risk Measures .
Currently under review at The
Journal of Empirical Finance .
