Charles Sutcliffe

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

34

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Top 20,275

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33

CROSSREF CITATIONS

12

Scholarly Papers (34)

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 1,891 (8,978)
Citation 6

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

2.

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 1,443 (13,840)
Citation 4

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

3.

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 1,224 (17,737)
Citation 6

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

4.

Taxation, Pension Schemes and Stakeholder Wealth

Advances in Taxation, Forthcoming
Number of pages: 46 Posted: 21 Sep 2017 Last Revised: 14 Nov 2019
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 1,161 (19,231)
Citation 1

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

5.

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 1,124 (20,193)

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

6.

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

European Journal of Operational Research, Forthcoming
Number of pages: 45 Posted: 14 May 2019 Last Revised: 26 May 2020
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 1,064 (21,929)

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Investment analysis, asset allocation, stock selection, mean-variance, naive diversification, portfolio theory

7.

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

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 23 Mar 2020
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 978 (24,844)

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

8.

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 545 (54,781)
Citation 4

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

9.

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 493 (62,205)

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

10.

Cryptocurrency Portfolios Using Heuristics

Number of pages: 16 Posted: 24 Aug 2019 Last Revised: 09 Sep 2019
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 427 (74,092)

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Cryptocurrencies; Heuristic Asset Allocation Strategies; Portfolio Management

11.

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 392 (81,910)
Citation 3

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

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 176 (186,213)
Citation 1

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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 127 (244,257)
Citation 2

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

13.

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 272 (122,748)
Citation 4

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

14.

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 260 (128,826)

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

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 255 (131,368)
Citation 7

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

16.

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 250 (134,022)
Citation 2

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

17.

Group Localised Child Sexual Exploitation Offenders: Who and Why?

Number of pages: 17 Posted: 06 Oct 2018 Last Revised: 02 Mar 2020
Kish Bhatti-Sinclair and Charles Sutcliffe
University of Chichester and University of Reading - ICMA Centre
Downloads 207 (160,743)

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

18.

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 207 (160,743)

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Pension schemes, mergers, defined benefit

19.

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 181 (181,728)
Citation 2

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Short Sterling, Neural Networks, Option Pricing, Option Hedging

20.

Dangerous Models: Three Rival Models for Determining the Optimal Mix of Tourists, with an Application to Greece

Number of pages: 27 Posted: 31 Dec 2019
Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 166 (195,836)

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Tourism, portfolio models, diversification, nationalities, Greece

21.

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 149 (214,502)

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

22.

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 126 (244,824)
Citation 1

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corrodies, monasteries, annuities, pensions, medieval bishops

23.

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 99 (290,567)

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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 52 (421,388)
Citation 1

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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 23 (565,148)

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

25.

The Implications of the COVID-19 Pandemic for Pensions

A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers, edited by Monica Billio and Simone Varotto, Ca’ Foscari University Press, 2020, pp. 235-244.
Number of pages: 10 Posted: 10 Jun 2020 Last Revised: 31 Jul 2020
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 60 (390,844)

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Pensions; COVID-19; Coronavirus; Longevity; Mortality; Lockdown; Pension contributions; Pension transfers; Pension scams; Pension withdrawals; State pensions

26.

Asset-Liability Models and the Chinese Basic Pension Fund

Number of pages: 39 Posted: 30 Mar 2020 Last Revised: 06 Apr 2020
Zucheng Zhao and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 18 (579,628)

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Pension Scheme; Portfolio Theory; Asset-Liability Model; Retirement Age; Cash Balance

27.

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 16 (592,401)

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

28.

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

Number of pages: 23 Posted: 12 Jun 2019 Last Revised: 09 Oct 2019
Kish Bhatti-Sinclair and Charles Sutcliffe
University of Chichester and University of Reading - ICMA Centre
Downloads 8 (647,770)

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29.

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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30.

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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31.

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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32.

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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33.

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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34.

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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