Details about Charles Sutcliffe
Access statistics for papers by Charles Sutcliffe.
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Short-id: psu64
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Working Papers
2017
- Harmful Diversification: Evidence from Alternative Investments
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University 
See also Journal Article in The British Accounting Review (2019)
- Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
- Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
2015
- Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
See also Journal Article in Insurance: Mathematics and Economics (2016)
2013
- Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University 
See also Journal Article in International Review of Financial Analysis (2015)
2011
- Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price
Post-Print, HAL View citations (1)
Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2009) View citations (1)
See also Journal Article in Applied Economics (2012)
2009
- Back to the Future: A Long Term Solution to the Occupational Pensions Crisis
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
- Valuing Medieval Annuities: Were Corrodies Underpriced?
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
See also Journal Article in Explorations in Economic History (2010)
2007
- Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
- Should Defined Benefit Pension Schemes be Career Average or Final Salary?
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
2005
- A False Perception? The relative riskiness of AIM and listed Stocks
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
- Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University 
See also Journal Article in Economic Analysis (2007)
- Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University 
See also Journal Article in Annals of Actuarial Science (2006)
2002
- Market Regulation in a Dynamic Environment
FMG Special Papers, Financial Markets Group
2001
- Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options
Working Papers, University of Southampton - Department of Accounting and Management Science View citations (2)
See also Journal Article in Journal of Futures Markets (2003)
2000
- Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options
Working Papers, University of Southampton - Department of Accounting and Management Science View citations (7)
1999
- Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data
Working Papers, University of Southampton - Department of Accounting and Management Science View citations (3)
- The Application of Operations Research Techniques to Financial Markets
Working Papers, University of Southampton - Department of Accounting and Management Science
1996
- The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options
Working Papers, University of Southampton - Department of Accounting and Management Science
1995
- The Performance of Covered Calls and Protective Puts
Working Papers, University of Southampton - Department of Accounting and Management Science
1994
- Loan Loss Provision by International Banks: Estimation, Determinants and Evidence
Working Papers, University of Southampton - Department of Accounting and Management Science View citations (1)
1993
- The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk
Working Papers, University of Southampton - Department of Accounting and Management Science View citations (4)
See also Journal Article in Journal of Futures Markets (1996)
Journal Articles
2021
- Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
European Journal of Operational Research, 2021, 288, (1), 302-317
2019
- Harmful diversification: Evidence from alternative investments
The British Accounting Review, 2019, 51, (1), 1-23 View citations (5)
See also Working Paper (2017)
- The role of customer awareness in promoting firm sustainability and sustainable supply chain management
International Journal of Production Economics, 2019, 217, (C), 88-96 View citations (2)
- The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models
Applied Economics Letters, 2019, 26, (6), 516-521 View citations (1)
2018
- Optimal vs naïve diversification in cryptocurrencies
Economics Letters, 2018, 171, (C), 93-96 View citations (23)
- Socially responsible investment portfolios: Does the optimization process matter?
The British Accounting Review, 2018, 50, (4), 379-401 View citations (10)
2017
- Asset–liability modelling and pension schemes: the application of robust optimization to USS
The European Journal of Finance, 2017, 23, (4), 324-352 View citations (11)
2016
- Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011
Insurance: Mathematics and Economics, 2016, 69, (C), 14-28 
See also Working Paper (2015)
2015
- Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
International Review of Financial Analysis, 2015, 38, (C), 163-174 View citations (2)
See also Working Paper (2013)
2012
- Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures
The European Journal of Finance, 2012, 18, (6), 575-595 View citations (10)
- Over the moon or sick as a parrot? The effects of football results on a club's share price
Applied Economics, 2012, 44, (26), 3435-3452 View citations (8)
See also Working Paper (2011)
- PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS
Intelligent Systems in Accounting, Finance and Management, 2012, 19, (2), 128-149 View citations (3)
2010
- Valuing medieval annuities: Were corrodies underpriced?
Explorations in Economic History, 2010, 47, (2), 142-157 View citations (1)
See also Working Paper (2009)
2007
- Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate
Economic Analysis, 2007, 40, (3-4), 87-118 View citations (2)
See also Working Paper (2005)
2006
- Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria
Annals of Actuarial Science, 2006, 1, (2), 203-220 
See also Working Paper (2005)
2005
- The cult of the equity for pension funds: should it get the boot?
Journal of Pension Economics and Finance, 2005, 4, (1), 57-85 View citations (2)
2004
- Black–Scholes versus artificial neural networks in pricing FTSE 100 options
Intelligent Systems in Accounting, Finance and Management, 2004, 12, (4), 243-260
- Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance
British Actuarial Journal, 2004, 10, (5), 1111-1131
2003
- Applying Operations Research Techniques to Financial Markets
Interfaces, 2003, 33, (2), 12-24 View citations (7)
- Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options
Journal of Futures Markets, 2003, 23, (8), 773-797 View citations (2)
See also Working Paper (2001)
2001
- The Effect of Futures Market Volume on Spot Market Volatility
Journal of Business Finance & Accounting, 2001, 28, (7‐8), 799-819 View citations (7)
2000
- Market Maker Performance: The Search for Fair Weather Market Makers
Journal of Financial Services Research, 2000, 17, (3), 259-276 View citations (2)
- The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
Journal of Business Finance & Accounting, 2000, 27, (7‐8), 887-909 View citations (2)
- The performance of covered calls
The European Journal of Finance, 2000, 6, (1), 1-17 View citations (4)
1998
- Options trading when the underlying market is not transparent
Journal of Futures Markets, 1998, 18, (2), 225-242
1997
- Book Reviews
Accounting and Business Research, 1997, 28, (1), 83-88
1996
- The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
Journal of Futures Markets, 1996, 16, (1), 29-54 View citations (1)
See also Working Paper (1993)
- Trade Transparency and the London Stock Exchange
European Financial Management, 1996, 2, (3), 355-365 View citations (19)
1994
- Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
Management Science, 1994, 40, (4), 516-534 View citations (12)
1986
- Designing Secondary School Catchment Areas Using Goal Programming
Environment and Planning A, 1986, 18, (5), 661-675 View citations (2)
1983
- Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension
Scottish Journal of Political Economy, 1983, 30, (3), 275-86 View citations (2)
1982
- Inflation and Prisoner's Dilemmas
Journal of Post Keynesian Economics, 1982, 4, (4), 574-585 View citations (1)
- Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure
Oxford Bulletin of Economics and Statistics, 1982, 44, (4), 321-38 View citations (9)
1978
- The First Round of the Keynesian Regional Income Multiplier
Scottish Journal of Political Economy, 1978, 25, (2), 177-86 View citations (2)
Books
2016
- Finance and Occupational Pensions
Palgrave Macmillan Books, Palgrave Macmillan View citations (2)
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