Charles Sutcliffe

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

31

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CITATIONS
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23

Scholarly Papers (31)

1.

Harmful Diversification: Evidence from Alternative Investments

The British Accounting Review, Forthcoming
Number of pages: 50 Posted: 04 Feb 2017 Last Revised: 15 Aug 2018
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
University of Bath - School of Management, University of Nottingham and University of Reading - ICMA Centre
Downloads 1,208 (16,218)

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Alternative assets, diversification, estimation errors, transactions costs, non-normality, regimes

2.

Black-Scholes Versus Artificial Neural Networks in Pricing Ftse 100 Options

Number of pages: 23 Posted: 11 May 2004
Julia A. Bennell and Charles Sutcliffe
University of Southampton - School of Management and University of Reading - ICMA Centre
Downloads 1,187 (16,639)
Citation 3

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Black-Scholes, artificial neural networks, option pricing, FTSE 100 call options

3.

Optimal vs. Naïve Diversification in Cryptocurrencies

Economics Letters, Forthcoming
Number of pages: 11 Posted: 27 Jul 2018 Last Revised: 23 Jan 2019
Emmanouil Platanakis, Charles Sutcliffe and Andrew Urquhart
University of Bath - School of Management, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 758 (31,921)

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

4.

Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes

ICMA Centre, Discussion Paper Number: ICM-2017-08
Number of pages: 33 Posted: 21 Sep 2017 Last Revised: 24 Jan 2018
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 544 (49,459)
Citation 1

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Pension Schemes, Taxation, Subsidy, National Insurance Contributions, Universities Superannuation Scheme, Redistribution, Rule Changes

5.

Asset-Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS

The European Journal of Finance, Forthcoming
Number of pages: 42 Posted: 09 Apr 2014 Last Revised: 05 Nov 2017
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 538 (50,162)

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Robust Optimization; Pension Scheme; Asset-Liability Model; Sharpe Ratio; Sharpe-Tint; Bayes-Stein; Black-Litterman

6.

The Role of Transaction Costs and Risk Aversion When Selecting Between One and Two Regimes for Portfolio Models

Applied Economics Letters, Forthcoming
Number of pages: 14 Posted: 20 Sep 2017 Last Revised: 15 May 2018
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
University of Bath - School of Management, University of Nottingham and University of Reading - ICMA Centre
Downloads 531 (51,029)

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Portfolio theory; regime shifting; transaction costs; risk aversion; constant relative risk aversion

7.

Over the Moon or Sick as a Parrot: The Effects of Football Results on a Club's Share Price

Number of pages: 31 Posted: 01 Jul 2009
Adrian R. Bell, Chris Brooks, David Matthews and Charles Sutcliffe
University of Reading - ICMA Centre, University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 461 (61,008)

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soccer results, football clubs, stock returns, efficient markets hypothesis

8.

Better Cross Hedges With Composite Hedging? Hedging Equity Portfolios Using Financial and Commodity Futures

ICMA Centre Discussion Papers in Finance No. DP2007-04
Number of pages: 30 Posted: 14 May 2007
Fei Chen and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 384 (75,878)
Citation 3

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Composite hedging, cross hedging, Amex oil index, contract maturity, transactions costs

9.

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

Number of pages: 39 Posted: 14 May 2019 Last Revised: 15 Jul 2019
Emmanouil Platanakis, Charles Sutcliffe and Xiaoxia Ye
University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 381 (76,768)

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Asset allocation, stock selection, mean-variance, naive diversification, portfolio theory

Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011

Number of pages: 43 Posted: 03 Jul 2015 Last Revised: 02 Oct 2015
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 173 (172,352)

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Defined benefit, Pension scheme, Redistribution, USS, Scheme design, Risk shifting, Risk management

Pension Scheme Redesign and Wealth Redistribution between the Members and Sponsor: The USS Rule Change in October 2011

Insurance: Mathematics and Economics, Forthcoming, Netspar Discussion Paper No. 10/2015-060
Number of pages: 44 Posted: 19 Mar 2016 Last Revised: 03 Nov 2016
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 126 (224,379)

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Defined benefit, Pension scheme, Redistribution, USS, Scheme design, Risk shifting, Risk management

11.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 18 Jun 2019
University of Bath - School of Management, University of Bath - School of Management, Aston University - Aston Business School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 282 (107,560)

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors

12.

Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate

ICMA Centre Finance Discussion Paper
Number of pages: 40 Posted: 27 Sep 2005
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre
Downloads 269 (112,687)
Citation 2

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Pension scheme, portfolio theory, asset-liability modelling, contribution rate risk, solvency risk

13.

Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance

University of Southampton Accounting and Finance Discussion Paper No. AF04-16
Number of pages: 27 Posted: 11 May 2004
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 259 (117,201)

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Pension fund, asset allocation, tax arbitrage, risk sharing, default insurance, embedded options

14.

The Cult of the Equity for Pension Funds: Should it Get the Boot?

University of Southampton Accounting and Finance Discussion Paper No. AF04-17
Number of pages: 36 Posted: 11 May 2004
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 249 (122,069)
Citation 8

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Pension funds, asset allocation, cult of the equity, time diversification, mean reversion, liability matching, equity risk premium

15.

Socially Responsible Investment Portfolios: Does the Optimization Process Matter?

The British Accounting Review, Forthcoming
Number of pages: 54 Posted: 29 Sep 2015 Last Revised: 13 Jan 2018
Ioannis Oikonomou, Emmanouil Platanakis and Charles Sutcliffe
University of Reading - ICMA Centre, University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 245 (124,123)
Citation 1

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corporate social responsibility, CSR, CSP, SRI, sustainability, portfolio optimization

16.

Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria

ISMA Centre Finance Discussion Paper No. DP2005-09
Number of pages: 15 Posted: 07 Jun 2005
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 206 (146,871)

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Pension schemes, mergers, defined benefit

17.

Pricing and Hedging Short Sterling Options Using Neural Networks

Number of pages: 30 Posted: 20 Sep 2011
Charles Sutcliffe and Fei Chen
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 174 (171,438)

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Short Sterling, Neural Networks, Option Pricing, Option Hedging

18.

Should Defined Benefit Pension Schemes Be Career Average or Final Salary?

ICMA Discussion Paper No. 2007-6
Number of pages: 32 Posted: 18 Jul 2007
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 143 (202,190)

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Career Average Revalued Earnings (CARE) Pension Schemes, Final Salary Pension Schemes, Defined Benefit Pension Schemes, Redistribution

19.

Valuing Medieval Annuities: Were Corrodies Underpriced?

ICMA Centre Discussion Papers in Finance No. DP 2007-15
Number of pages: 33 Posted: 20 Nov 2007
Adrian R. Bell and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 124 (226,303)
Citation 1

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corrodies, monasteries, annuities, pensions, medieval bishops

20.

Back to the Future: A Long Term Solution to the Occupational Pensions Crisis

Number of pages: 31 Posted: 05 Jun 2010
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 94 (274,679)

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Deferred Annuity, Defined Benefit, Defined Contribution, Single Premium Deferred Annuity, Insurers, Occupational Pension Scheme, Derisking, Two-Pension Fund Separation, Crisis

Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Number of pages: 31 Posted: 04 Jul 2013
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 51 (389,500)

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Annuities, annuity puzzle, arbitrage, longevity, speculation, portfolios, life insurance

Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Netspar Discussion Paper No. 10/2013-059
Number of pages: 33 Posted: 20 Nov 2013
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 22 (524,488)

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Annuities, annuity puzzle, arbitrage, longevity, speculation, portfolios, life insurance

22.

Group Localised Child Sexual Exploitation: Identifying Those Who Have Been Prosecuted

Number of pages: 21 Posted: 06 Oct 2018
Kish Bhatti-Sinclair and Charles Sutcliffe
University of Chichester and University of Reading - ICMA Centre
Downloads 40 (422,369)

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Child Sexual Exploitation; Child Protection; Grooming; Locality; Pakistani; Muslim

23.

Cryptocurrency Portfolios Using Heuristics

Number of pages: 16 Posted: 24 Aug 2019
Emmanouil Platanakis, Charles Sutcliffe and Andrew Urquhart
University of Bath - School of Management, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 22 (519,409)

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Cryptocurrencies; Heuristic Asset Allocation Strategies; Portfolio Management

24.

The Role of Customer Awareness in Promoting Firm Sustainability and Sustainable Supply Chain Management

Number of pages: 35 Posted: 13 Feb 2019
Mengfeng Gong, Yuan Gao, S. C. Koh, Charles Sutcliffe and John Cullen
University of Sheffield - School of Management, affiliation not provided to SSRN, University of Sheffield, University of Reading - ICMA Centre and University of Sheffield
Downloads 11 (573,126)

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Sustainable Supply Chain Management; Information Environment; Customer Awareness; Stakeholder Engagement

25.

Normative and Positive Social Work in the Context of the Placement Decision: A Defence of Social Workers

Number of pages: 20 Posted: 12 Jun 2019
Kish Bhatti-Sinclair and Charles Sutcliffe
University of Chichester and University of Reading - ICMA Centre
Downloads 2 (636,697)

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26.

Loan Loss Provisioning by International Banks: Estimation, Determinants and Evidence

Posted: 14 May 2000
Lancaster University - Management School, University of Southampton - School of Management, University of Southampton, University of Southampton - School of Management, University of Reading - ICMA Centre and University of Southampton - School of Management

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27.

The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk

Posted: 15 Sep 1999
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

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28.

The Effects of Trade Transparency in the London Stock Exchange: A Summary

Posted: 15 Sep 1999
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

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29.

Provisioning Against Bank Loan Losses: An Economic Perspective

Posted: 13 Sep 1999
Richard Dale and Charles Sutcliffe
University of Southampton and University of Reading - ICMA Centre

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30.

The Performance of Covered Calls and Protective Puts

Posted: 25 Aug 1998
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

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31.

The Effects of Spot Transparency on the Bid-Ask Spreads and Volume of Traded Share Options

Discussion Paper 96-126
Posted: 11 May 1998
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

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