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
corporate social responsibility, CSR, CSP, SRI, sustainability, portfolio optimization
Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization
Bitcoin, Portfolio Optimization, Diversification, Out-of-Sample Performance
