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PhD CASE Studentship: Designing macro factors for portfolio choice

Project Description

This is a 1+3 years studentship between the Department of Accounting and Finance at Lancaster University Management School (LUMS) and our industry partner Invesco, funded by the ESRC – Northwest Social Science Doctoral Training Partnership. The PhD Studentship includes payment of full tuition fees and an annual maintenance grant of at least £16,777 (tax-free) in years 1, 2, 3 and 4. The start date is 1st October 2020 and the supervisors are:

1. Dr George Wang (Senior Lecturer in Finance, EMP, LUMS)
2. Dr Sandra Nolte (Senior Lecturer in Finance, EMP, LUMS)
3. Dr Harald Lohre (Senior Research Analyst, Invesco Quantitative Strategies)

Description of the project:
The recent asset pricing literature seeks to explain the cross-section of many asset classes in terms of style factors such as value and momentum, leading to the new investment paradigm of factor-based investing. From a top down perspective, investors should be most concerned about shocks in macro factors such as growth or inflation that ultimately govern the pricing of broad asset classes. Yet, there has been little research into modelling and managing such macro factors in a way that investors’ portfolio choice ultimately results in feasible portfolio allocations. This research project aims to thoroughly address modelling macroeconomic factors against this objective and to ultimately guide the design of portfolio allocations that can to serve various investors´ needs. The PhD Candidate will enjoy the unique opportunity to pursue a first-class formal finance education while keeping close ties to the investment management industry. In particular, the PhD student will get comprehensive insight into the Invesco Quantitative Strategies Team with more than 60 investment professionals managing over USD 30bn within a broad range of investment strategies and asset classes.

Application details:
The successful candidate will automatically be enrolled into the department’s 4 year PhD programme in Finance. The admission criteria are:

• Applicants are normally expected to hold a relevant Master’s degree in finance (with a substantial quantitative component), Master (MSci or MSc) in Mathematics, Statistics or in a related quantitative/econometric cognate subject area.
• We will usually require a performance at distinction level at Master’s degree, typically averaging above 70% overall, which may also be required in a suitable dissertation element.
• Our English language requirements (where required) are for IELTS at 7.0.
• Applicants are advised that a GMAT score may be required.

How to apply:
Please send your CV (including marks’ transcripts) and a motivation letter directly to Dr. George Wang (), Dr Sandra Nolte () and Dr Harald Lohre (); and apply formally to the department’s PhD programme. More details can be found under

Please apply before 19th April 2020.

Related Subjects

How good is research at Lancaster University in Business and Management Studies?

FTE Category A staff submitted: 122.38

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