Professorial Research Associate
- Professor Chris Adcock
- Email address:
- SOAS University of London
Thornhaugh Street, Russell Square, London WC1H 0XG
- Russell Square: College Buildings
Professor of Quantitative Finance at SOAS University of London until July 2020. Previously Professor of Financial Econometrics at the University of Sheffield. Now honorary Professor of Finance in Sheffield University Management School and visiting Professor at University College Dublin. Research interests in portfolio selection, asset pricing theory and development of quantitative techniques for portfolio management. Sometime advisor to several international investment managers. Founding editor of The European Journal of Finance. Previously associate editor of several finance journals and Series C and D of the Journals of the Royal Statistical Society. Current projects in financial econometrics, asymmetry and portfolio selection.
Adcock, Chris and Areal, Nelson and Cortez, Maria Céu and Oliveira, Benilde and Silva, Florinda (2020) 'Does the choice of fund performance measure matter?'. Investment Analysts Journal, (49) 1, pp 53-77.
Adcock, Chris and Azzalini, Adelchi (2020) 'A Selective Overview of Skew-Elliptical and Related Distributions and of Their Applications'. Symmetry, (12) 1, pp 118.
Adcock, Chris and Landsman, Zinoviy and Shushi, Tomer (2019) 'Stein’s Lemma for generalized skew-elliptical random vectors'. Communications in Statistics: Theory and Methods, (50) 13, pp 1-16.
Adcock, Chris and Ye, C. and Yin, S. and Zhang, Dalu (2019) 'Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach'. Journal of the Operational Research Society, (70) 10, pp 1709-1719.
Leite, Carlos and Cortez, Maria Céu and Silva, Florinda and Adcock, Chris (2017) 'The performance of socially responsible equity mutual funds: Evidence from Sweden'. Business Ethics: A European Review, (27) 2, pp 108-126.
Adcock, C. J. and Meade, Nigel (2017) 'Using parametric classification trees for model selection with applications to financial risk management'. European Journal of Operational Research, (259) 2, pp 746-765.
Adcock, Chris and Hua, Xiuping and Huang, Yiping (2016) 'Are Chinese stock and property markets integrated or segmented?'. The European Journal of Finance, (22) 4-6, pp 345-370.
Adcock, Chris and Eling, Martin and Loperfido, Nicola (2015) 'Skewed distributions in finance and actuarial science: a review'. The European Journal of Finance, (21) 13-14, pp 1253-1281.
Adcock, Chris and Hua, Xiuping and Mazouz, Khelifa and Yin, Shuxing (2014) 'Derivative activities and Chinese banks’ exposures to exchange rate and interest rate movements'. The European Journal of Finance, pp 1-25.
Adcock, C.J. (2013) 'Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution'. European Journal of Operational Research, (234) 2, pp 392-401.
Adcock, C. J. (2013) 'Ex Post Efficient Set Mathematics'. Journal of Mathematical Finance, (3) 1, pp 201-210.
Adcock, C.J. (2012) 'Risk seeking and measures of portfolio performance'. International Journal of Portfolio Analysis and Management, (1) 2, pp 161.
Adcock, C. J. and Cortez, Maria Céu and Armada, M. J. Rocha and Silva, Florinda (2012) 'Time varying betas and the unconditional distribution of asset returns'. Quantitative Finance, (12) 6, pp 951-967.
Adcock, C. J. (2007) 'Extensions of Stein's Lemma for the Skew-Normal Distribution'. Communications in Statistics - Theory and Methods, (36) 9, pp 1661-1671.
Adcock, Chris (2007) 'Measuring portfolio performance using a modified measure of risk'. Journal of Asset Management, (7) 6, pp 388-403.
Adcock, C. J. (2015) 'Statistical Properties and Tests of Efficient Frontier Portfolios'. In: Zopounidis, Constantin and Galariotis, Emilios, (eds.), Quantitative Financial Risk Management. Hoboken, NJ: John Wiley & Sons, pp 242-269.
Hua, Xiuping and Adcock, Chris (2015) 'Asset Pricing under Financial Repression: Evidence from the Chinese Real Estate Boom during 1999–2010'. In: Cumming, Douglas and Guariglia, Alessandra and Hou, Wenxuan and Lee, Edward, (eds.), Developing China's Capital Market. Basingstoke: Palgrave Macmillan, pp 42-73.
This list was last generated on Friday, 24th June 2022, 23:44 Europe/London.