2024

Huang, X., Newton, D. P., Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2024) Single-stage portfolio optimization with automated machine learning for M6. International Journal of Forecasting. ISSN 0169-2070 (In Press)

Zhao, Z. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2024) Why are pension schemes frozen, and how does a freeze affect the employer’s risk? International Review of Economics and Finance, 94. 103393. ISSN 1873-8036 doi: https://doi.org/10.1016/j.iref.2024.103393

Platanakis, E., Stafyla, D. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2024) Portfolio management with alternative investments. In: Cumming, D. and Hammer, B. (eds.) The Palgrave Encyclopedia of Private Equity. Palgrave, Basingstoke. ISBN 9783030387389 doi: https://doi.org/10.1007/978-3-030-38738-9 (In Press)

2023

Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2023) Cryptocurrency portfolios using heuristics. In: Alphonse, P., Bouaiss, K., Grandin, P. and Zopounidis, C. (eds.) Essays in Financial Analytics. Lecture Notes in Operations Research. Springer, Cham, pp. 117-128. ISBN 9783031294877 doi: https://doi.org/10.1007/978-3-031-29050-3_7

Han, W., Newton, D., Platanakis, E., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ye, X. (2023) On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing. European Financial Management. ISSN 1468-036X doi: https://doi.org/10.1111/eufm.12431

Mariani, M. ORCID: https://orcid.org/0000-0002-7916-2576, Platanakis, E., Safylas, D. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2023) Identifying a destination’s optimal tourist market mix: does a superior portfolio model exist? Tourism Management, 96. 104722. ISSN 0261-5177 doi: https://doi.org/10.1016/j.tourman.2023.104722

Huang, X., Han, W., Newton, D., Platanakis, E., Stafylas, D. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2023) The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19. European Journal of Finance. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2022.2033806

2021

Newton, D., Platanakis, E., Stafylas, D., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ye, X. (2021) Hedge fund strategies, performance & diversification: a portfolio theory & stochastic discount factor approach. The British Accounting Review, 53 (5). 101000. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2021.101000

Zhao, Z. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2021) What determines the asset allocation of defined benefit pension funds? Applied Economics, 53 (36). pp. 4178-4191. ISSN 1466-4283 doi: https://doi.org/10.1080/00036846.2021.1897512

Zhao, Z. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2021) Asset-liability models and the Chinese basic pension fund. Economic and Political Studies, 9 (2). pp. 186-216. ISSN 2095-4816 doi: https://doi.org/10.1080/20954816.2020.1793497

2020

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2020) The implications of the COVID-19 pandemic for pensions. In: Billio, M. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (eds.) A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Ca’ Foscari University Press, Venice, Italy, pp. 235-244. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4/017

Platanakis, E., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ye, X. (2020) Horses for courses: mean-variance for asset allocation and 1/N for stock selection. European Journal of Operational Research, 288 (1). pp. 302-317. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2020.05.043

Bhatti-Sinclair, K. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2020) Group localised child sexual exploitation offenders: who and why? Seen and Heard, 30 (4). pp. 51-70. ISSN 1744-1072

Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2020) Taxation, pension schemes and stakeholder wealth. Advances in Taxation, 27. pp. 125-158. ISSN 1058-7497 doi: https://doi.org/10.1108/S1058-749720200000027005

2019

Gong, M., Gao, Y., Koh, L., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Cullen, J. (2019) The role of customer awareness in promoting firm sustainability and sustainable supply chain management. International Journal of Production Economics, 217. pp. 88-96. ISSN 0925-5273 doi: https://doi.org/10.1016/j.ijpe.2019.01.033

Platanakis, E., Sakkas, A. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2019) Harmful diversification: evidence from alternative investments. The British Accounting Review, 51 (1). pp. 1-23. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2018.08.003

Bhatti-Sinclair, K. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2019) Normative and positive social work in the context of the placement decision: a defence of social workers. Social Work and Social Sciences Review, 20 (2). pp. 77-94. ISSN 0953-5225 doi: https://doi.org/10.1921/swssr.v20i2.1260

Platanakis, E., Sakkas, A. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2019) The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models. Applied Economics Letters, 26 (6). pp. 516-521. ISSN 1466-4291 doi: https://doi.org/10.1080/13504851.2018.1486984

2018

Platanakis, E., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.07.020

Oikonomou, I., Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2018) Socially responsible investment portfolios: does the optimization process matter? The British Accounting Review, 50 (4). pp. 379-401. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2017.10.003

Sutcliffe, C. M. S. ORCID: https://orcid.org/0000-0003-0187-487X (2018) Financial aspects of UK occupational defined benefit pension schemes. PhD thesis, University of Reading.

2017

Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2017) Asset liability modelling and pension schemes: the application of robust optimization to USS. European Journal of Finance, 23 (4). pp. 324-352. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2015.1071714

2016

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2016) Finance and occupational pensions: theories and international evidence. Palgrave Macmillan, London , pp332. ISBN 9781349948628

Platanakis, E. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2016) Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011. Insurance: Mathematics and Economics. ISSN 0167-6687 doi: https://doi.org/10.1016/j.insmatheco.2016.04.001

2015

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2015) Trading death: the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios. International Review of Financial Analysis, 38. pp. 163-174. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2014.10.010

Board, J., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Hartavi, Y., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S. (2015) Risk and trading on London's Alternative Investment Market: The stock market for smaller and growing companies. Palgrave Pivot. Palgrave Macmillan, Basingstoke. ISBN 9781137361295

2013

Bhatti-Sinclair, K. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2013) Challenges in identifying factors which determine the placement of children in care? An international review. Child and Adolescent Social Work Journal, 30 (4). pp. 345-363. ISSN 1573-2797 doi: https://doi.org/10.1007/s10560-012-0293-x

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ziemba, W. (2013) Financial markets. In: Gass, S. I. and Fu, M.C. (eds.) Encyclopedia of Operations Research and Management Science. 3rd edition. Springer, Berlin. ISBN 9781441911377

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ziemba, W. (2013) Portfolio theory: mean-variance. In: Gass, S.I. and Fu, M.C. (eds.) Encyclopedia of Operations Research and Management Science. 3rd edition. Springer, Berlin. ISBN 9781441911377

2012

Bhatti-Sinclair, K. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2012) What determines the out-of-home placement of children in the USA? Children and Youth Services Review, 34 (9). pp. 1749-1755. ISSN 0190-7409 doi: https://doi.org/10.1016/j.childyouth.2012.05.004

Chen, F. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2012) Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures. European Journal of Finance, 18 (6). pp. 575-595. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2011.620253

Chen, F. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2012) Pricing and hedging short sterling options using artificial neural networks. Intelligent Systems in Accounting, Finance and Management, 19 (2). pp. 128-149. ISSN 1099-1174 doi: https://doi.org/10.1002/isaf.336

2011

Bell, A. R. ORCID: https://orcid.org/0000-0003-4531-0072, Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Matthews, D. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2011) Over the moon or sick as a parrot? The effects of football results on a club's share price. Applied Economics, 44 (26). pp. 3435-3452. ISSN 1466-4283 doi: https://doi.org/10.1080/00036846.2011.577017

2010

Board, J., Wells, S., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X, (2010) The LSE’s AIM market: effect on returns and trading of Canadian stocks. Report. The Task Force to Modernize Securities Legislation , Canada.

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2010) Should defined benefit pension schemes be career average or final salary? In: Bertocchi, M., Schwartz, S. L. and Ziemba, W. (eds.) Optimizing the ageing, retirement and pensions dilemma. Wiley, Hoboken, New Jersey, pp. 227-258. ISBN 9780470377345

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2010) Back to the future: a long term solution to the occupational pensions crisis. Insurance Markets and Companies: Analyses and Actuarial Computations, 1 (2). pp. 11-29. ISSN 2078-2462

Bell, A. ORCID: https://orcid.org/0000-0003-4531-0072 and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2010) Valuing medieval annuities: were corrodies underpriced? Explorations in Economic History, 47 (2). pp. 142-157. ISSN 0014-4983 doi: https://doi.org/10.1016/j.eeh.2009.07.002

2009

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S., (2009) The impact of the Credit Crunch on the Sterling Corporate Bond market. Technical Report. Investment Management Association pp69.

Board, J. L. G., Sutcliffe, C. M. S. ORCID: https://orcid.org/0000-0003-0187-487X and Ziemba, W. T. (2009) Operations research and finance markets. In: Floudas, C. A. and Pardalos, P. M. (eds.) Encyclopedia of Optimization. Springer-Verlag, pp. 2696-2704. ISBN 9780387747583 doi: https://doi.org/10.1007/978-0-387-74759-0_466

Board, J. L. G., Sutcliffe, C. M. S. ORCID: https://orcid.org/0000-0003-0187-487X and Ziemba, W. T. (2009) Portfolio selection: Markowitz mean-variance model. In: Floudas, C. A. and Pardalos, P. M. (eds.) Encyclopedia of Optimization. Springer-Verlag, pp. 2990-2996. ISBN 9780387747583 doi: https://doi.org/10.1007/978-0-387-74759-0_513

2007

Board, J. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2007) Joined-up pensions policy in the UK: an asset-liability model for simultaneously determining the asset allocation and contribution rate. In: Zenios, S. A. and Ziemba, W. (eds.) Handbook of asset and liability management: applications and case studies. Handbooks in Finance (2). Elsevier , pp. 1029-1067. ISBN 9780444528025

2006

Board, J. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2006) Futures and forwards. In: Garrett, I. (ed.) Finance. The Blackwell Encyclopedia of Management (4). Wiley. ISBN 9781405118262

Board, J. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2006) Program trading. In: Garrett, I. (ed.) Finance. The Blackwell Encyclopedia of Management (4). Wiley, pp. 159-160. ISBN 9781405118262

Sutcliffe, C. M. S. ORCID: https://orcid.org/0000-0003-0187-487X (2006) Stock index futures. 3rd edition. Innovative Finance Textbooks. Ashgate, pp532. ISBN 9780754641926

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2006) Merging schemes: an economic analysis of defined benefit pension scheme merger criteria. Annals of Actuarial Science, 1 (02). pp. 203-220. ISSN 1748-5002 doi: https://doi.org/10.1017/S1748499500000130

Board, J., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S., (2006) A false perception? The relative riskiness of AIM and listed stocks. Discussion Papers. 2006-0. Discussion Paper. University of Reading, Reading. pp40.

2005

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2005) The cult of the equity for pension funds: should it get the boot? Journal of Pension Economics and Finance, 4 (1). pp. 57-85. ISSN 1475-3022 doi: https://doi.org/10.1017/S1474747204001726

2004

Bennell, J. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2004) Black-Scholes versus artificial neural networks in pricing FTSE 100 options. International Journal of Finance & Economics, 12 (4). pp. 243-260. ISSN 1099-1158 doi: https://doi.org/10.1002/isaf.254

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S., (2004) Distortion or distraction: US restrictions on EU exchange trading screens. City Research Series. 3. Report. Corporation of London

Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2004) Pension scheme asset allocation with taxation arbitrage, risk sharing and default insurance. British Actuarial Journal, 10 (5). pp. 1111-1131. ISSN 1357-3217

2003

Sun, P. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2003) Scheduled announcements and volatility patterns: the effects of monetary policy committee announcements on LIBOR and short sterling futures and options. The Journal of Futures Markets, 23 (8). pp. 773-797. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.10083

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Ziemba, W. T. (2003) Applying operations research techniques to financial markets. Interfaces: An International Journal of the Institute for Operations Research and the Management Sciences, 33 (2). pp. 12-24. ISSN 0092-2102 doi: https://doi.org/10.1287/inte.33.2.12.14465

2002

Board, J., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Wells, S. (2002) Transparency and fragmentation: financial market regulation in a dynamic environment. Palgrave, pp320. ISBN 9780333986349

Zacharatos, N. and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X (2002) Is the forward rate for the Greek drachma unbiased? A VECM analysis with both overlapping and non-overlapping data. Journal of Financial Management and Analysis, 15 (1). pp. 27-37. ISSN 0970-4205