Dr Godfrey Charles-Cadogan

Lecturer in Finance

Contact details

  • Tel: +44 (0)116 229 7385
  • Email: gcc13@le.ac.uk
  • Office: Room 1.03, Mallard House, Brookfield
  • Office hours: Tuesday 2.00pm - 4:00pm and by appointment

Personal details

I joined the School in 2016, having previously taught at the University of Johannesburg. I hold a PhD from the University of Cape Town with emphasis on Statistical Economics. My research has been published in Journal of Economic Behavior & Organization, Journal of Mathematical Economics, Journal of Investment Strategies, Financial Research Letters, Handbook of High Frequency Trading, Systems Research and Behavioral Science, and Proceedings of American Statistical Association, Business & Economics Section.

External examiner

Master’s Thesis:

  • “An Application of Vine Copulas to the Portfolio Optimization Problem”
  • “Risk Based Asset Allocation: A Forward Looking Approach”
  • “Dynamic Portfolio Insurance and Tactical Asset Allocation on the JSE”

Membership in Professional Bodies

  • Royal Economic Society
  • Royal Statistical Society
  • South African Mathematical Sciences Association
  • American Finance Association
  • Econometrics Society

Personal website

Research

Asset pricing; portfolio theory; mathematical economics; econometrics theory.

Current research projects include econometric tests for factor pricing, construction of a credit risk index with myopic loss aversion to credit default; behavioural asset pricing and rare disasters; managerial compensation contracts and revolving doors; behavioural probability models for irrational exuberance and financial market instability; direct estimation of risk attitude factors with nonexperimental data, and Lie algebra of risk attitudes with applications to financial markets.

Affiliation

Institute for Innovation and Technology Management

Supervision

Modern economics and finance are highly quantitative. Hence, students with strong mathematics or statistics background, and at least pedestrian knowledge of at least one of R, Python, Matlab, C++, Stata, SPSS, Eviews, Excel, etc, or those willing to work hard to acquire same through directed reading, are welcome to pursue projects that include but are not limited to: asset pricing, decision making in the presence of risk, foundations of behavioural economics, portfolio performance measurement, econometrics theory, empirical stochastic processes, behavioural finance, and empirical research involving algorithmic or high frequency trading or natural experiments in behavioural economics and finance.

Current PhD supervision: Kuok Sin Un

Teaching

  • MN1017 Foundations of Economics (BSc Accounting and Finance, seminars)
  • MN2103 Research Methods (BSc Accounting and Finance, module leader)
  • MN2134 Corporate Finance (BSc Accounting and Finance, seminars)
  • MN2140 Macro Finance (BSc Accounting and Finance, seminars)
  • MN3141 Performance Measurement in Financial Institutions (BSc Accounting & Finance, module leader)
  • MN7032 Corporate Finance (MSc Accounting & Finance, module leader)
  • MN7038 Advanced Empirical Finance (MSc Accounting & Finance, module leader)
  • EC7110 Dissertation

Most Recent Publications

Losses Loom Larger Than Gains and Reference Dependence in Bernoulli’s Utility Function,” Journal of Economic Behavior & Organization, 2018, 154(1): 220-237

Probability Interference in Expected Utility Theory”, Journal of Mathematical Economics, 2018, In press

Full Listing of Publications

Losses Loom Larger Than Gains and Reference Dependence in Bernoulli’s Utility Function,” Journal of Economic Behavior & Organization, 2018, 154(1): 220-237

Probability Interference in Expected Utility Theory”, Journal of Mathematical Economics, 2018, In press

Expected Utility Theory and Inner And Outer Measures of Loss Aversion,” Journal of Mathematical Economics, 2016, 63:10-20

Diffusing Explosive Portfolio Performance Evaluation Of High Frequency Traders” Journal of Investment Strategies, 2016, 5(1):1-25 (lead article)

Bankruptcy Risk Induced By Career Concerns of Regulators” (with J. A. Cole), Financial Research Letters,  2014, 11:259-271

Noisy Chaos in A Large System of Decision Makers with Heterogeneous Beliefs with Application to Index Option Prices,” System Research and Behavioral Science: Special Issue on Behavioural Risk, 2014, 31(4):487-501 (lead article)

“Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets,” In Proceedings of Joint Statistical Meeting (JSM) , Business and Economic Statistics Section, Alexandria, VA: American Statistical Association. 673-687, 2011

Invited paper

American Institute of Mathematical Sciences—Mathematics “On Quantizing the Lie Algebra for Risk Attitudes with Loss Aversion” (in preparation)

Book chapters (peer reviewed)

  1. Efficient Performance Evaluation for High Frequency Trading” Chapter 14 in The Handbook of High Frequency Trading. (Edited by Greg N. Gregoriou). San Diego, CA: Academic Press/Elsevier, 2015

Select working papers

  1. “Estimation and Inference for Loss Aversion in Cross Sectional Regressions of  Happiness and Consumption on Economic Growth”
  2. “Market Instability, Investor Sentiment, And The Probability Weighting Functions Implied By Index Option Prices”
  3. “Factor Pricing and Market Timing with Benchmark Perturbation”
  4. “A Regulator’s Exercise of Career Option To Quit and Join A Regulated Firm’s Management with Applications to Financial Institutions”
  5. “Incoherent Preferences”
  6. “Loss Aversion and The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities”

Select works-in-progress

  1. “Learning And Termination Delays In Software Infrastructure Projects: Why Managerial Compensation Schemes And Control Rights Matter,” (with Morgan, H. and Ngwenyama, O.)
  2. “The Public-Private Partnership Puzzle: Overinvestment and Underinvestment due to Agency Costs of Providing Access to Credit”
  3. “An Algorithmic Trading Rule for Asset Pricing With Large Market Sentiment Datastreams”
  4. “Asset Pricing with Myopic Loss Aversion to Credit Default” (with S. Mataramvura)
  5. “Matrix Measure of Risk Attitudes With Statistical Tests for Expected and Nonexpected Utility Theories”
  6. Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology: Risk Torsion and Loss Aversion
  7. “Utility Representation in Abstract Weiner Space”

Papers presented at select refereed conferences

“Forecasting the equity risk premium with long swings in stock market behaviour” (with Kuok Sin Un and Marcel Ausloos*).

  • 14th CHAOS 2021 International Conference, Financial Markets & Time Series trackm Online , June 2021 (*Presenter, forthcoming).

“Factor Pricing and Market Timing with Benchmark Perturbation”.

  • International Risk Management Conference (IRMC), Online, 9-10 October 2020.

“Weak Rank Dependent Utility and Risk Tradeoffs in Virtual Gain-Loss Spaces”.

  • Southern European Experimentalist Team (SEET) Workshop, Naples Feb 7-8, 2020.
  • International Association for Research in Economic Psychology/Society for Advancement of Behavioural Economics (IRAP/SABE) Conference, Dublin September 1-4, 2019

“Consumption Based Asset Pricing with rare Disasters and Mimicking Loss Aversion” International Financial and Banking Society (IFABS), ESSCA, Angers, 27-29 June 2019

“Estimation and Inference for Loss Aversion in Cross Sectional Regressions of  Happiness and Consumption on Economic Growth,” Special Session, Royal Economic Society Annual Conference, Behavioural Econometrics, Subjective Well Being and Policy, University of Sussex, March 27, 2018

“Smart Beta and Alpha Representation,” Royal Statistical Society 2017 International Conference, Industry & Commerce-Financial Risk Modelling Session, Glasgow, Scotland, September 4-7, 2017

“Asset Pricing with Myopic Loss Aversion to Credit Default” (with S. Mataramvura) Quantitative Methods in Finance Conference, Quantitative Finance Research Centre, University of Technology Sydney, December 15, 2015 (accepted but declined for personal reasons)

“Asymptotic Theory Of Myopic Loss Aversion with Applications To Intolerance for Decline in Standard Of Living and Asset Pricing,” 25th Annual Meeting of the Midwest Econometrics Group—Theory and Methods, Research Division, Federal Reserve Bank of St. Louis, October 9-10, 2015

“Market Instability, Investor Sentiment, And The Probability Weighting Functions Implied By Index Option Prices and Credit Risk”

  • International Risk Management Conference (IRMC), SDA Bocconi Milan, 17-18 June, 2019
  • 5th International Conference of the Financial Engineering and Banking Society (FEBS), 11th-12th-13th of June, 2015 in Nantes at the Audencia Nantes School of Management Campus;
  • 38th International Conference Stochastic Processes and their Applications, Oxford-Man Institute of Quantitative Finance, Oxford University (accepted but declined for personal reasons)

“Myopic Loss Aversion and Intolerance to Decline in Consumption,” Foundations and Applications of Utility, Risk and Decision Theory (FUR) XVI, Rotterdam, June 30-July 2, 2014

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