Claverton Down
Bath, BA2 7AY
United Kingdom
University of Bath - School of Management
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Alternative assets, diversification, estimation errors, transactions costs, non-normality, regimes
Robust Optimization; Pension Scheme; Asset-Liability Model; Sharpe Ratio; Sharpe-Tint; Bayes-Stein; Black-Litterman
Pension Schemes, Taxation, Subsidy, National Insurance Contributions, Universities Superannuation Scheme, Redistribution, Rule Changes
Portfolio theory; regime shifting; transaction costs; risk aversion; constant relative risk aversion
Defined benefit, Pension scheme, Redistribution, USS, Scheme design, Risk shifting, Risk management
Bitcoin; Diversification; Out-of-Sample Performance; Portfolio Optimization
corporate social responsibility, CSR, CSP, SRI, sustainability, portfolio optimization
Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization
Turn-of-the-Month, Seasonality, Asset Allocation, Portfolio Diversification
