PhD Studentship - Asset Allocation in an Ever Changing World: Developing Effective Risk Management Strategies for Investment Companies

Loughborough University

Start date: 1st October 2018

Closing date: 6th April 2018


Primary supervisor: Professor. Andrew Vivian

Secondary supervisor: Dr. Seyoung Park

Loughborough University is a top-ten rated university in England for research intensity (REF2014) and an outstanding 66% of the work of Loughborough’s academic staff who were eligible to be submitted to the REF was judged as ‘world-leading’ or ‘internationally excellent’, compared to a national average figure of 43%.

In choosing Loughborough for your research, you’ll work alongside academics who are leaders in their field. You will benefit from comprehensive support and guidance from our Graduate School, including tailored careers advice, to help you succeed in your research and future career.

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Project Detail:

This project will contribute to the understanding of how investment managers should allocate funds in the contemporary post-crisis environment. Specifically, given that asset returns are subject to time-varying volatility and that correlations across asset classes also vary over time. Our results may shed some light on the new implications for investment managers surrounding the large losses that might be incurred by many companies during unprecedented economic uncertainty over Brexit.

This project will be developed in two main stages:

  • (i) develop a new and tractable asset allocation model to include the case where asset returns volatility and cross-correlations are time-varying, in order to enable investment managers to use appropriate optimal portfolio weights and risk managers optimal  strategies
  • (ii) analyse the significance of utilizing the optimally derived portfolio weights and risk management strategies from part (i) rather than simpler (more naïve) alternatives. This applied analysis is anticipated to involve some simulation based work as well as some empirical work using real data.

Finally, the implications of the project for the investment industry undertaken will be fully explained and disseminated.

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Entry requirements:

UK Masters degree (with average programme mark of no less than 65%) or International equivalent, high grades in a Master’s degree in a related subject and will need a strong background in Finance, Economics and Maths. English Language requirement of IELTS band 7.0 or above with not less than 7.0 in each component.

Funding information:

The studentship provides a tax free stipend of £14,777 per annum for the duration of the studentship plus tuition fees at the UK/EU rate. International (non EU) students may apply however the total value of the studentship will be used towards the cost of the International tuition fee.

Contact details:

Name: Professor. Andrew Vivian, Professor of Finance

Email address:

How to apply:

All applications should be made online at Under programme name, select Business School

Please quote reference number: SBE-AV18

Please upload all the supporting documents listed below:

  • A curriculum vitae
  • A 500 word personal statement explaining your interest in, and aptitude for, the topic of this research project. In particular we would like to learn about what qualities do you feel you can bring to the project.
  • 2-3 samples of writing such as MSc dissertation, journal or conference article, essays from your MSc degree
  • Copies of your transcripts/certificates
  • Two academic references.
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Midlands of England