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The University of Southampton
Centre for Risk Research

Risk factor model portfolios for retail investors

The project, which commenced in 2015, is funded by a £90,000 EPSRC Collaborative Award in Science and Engineering (CASE).

The project aims to: (i) employ a state-of-the-art multi-factor risk model to assess risk profiles of financial assets and mutual funds; (ii) develop an innovative technique for identifying the least-cost means of creating asset portfolios which match investors’ risk –appetite and (iii) create a novel optimizer for combining macro-level forecasts for asset classes, geographic regions and investment styles within a risk-controlled framework. The research is being undertaken as a partnership between the Centre for Risk Research and Seven Investment Management, a leading investment management company, with £10bn of assets under management.

The project funder
The project funder

This project, like all EPSRC CASE conversion awards, provides funding for a PhD student to experience first-rate, challenging research training, within the context of a mutually beneficial research collaboration between academic and partner organisations.

The investigators from the Centre for Risk Research are Professor Frank McGroarty, Professor Johnnie Johnson, Professor Ming-Chien Sung and Dr. Tiejun Ma and the PhD award holder is Thomas Brereton.

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