Professor of Quantitative Finance
- Professor Chris Adcock
- Email address:
- 020 7898 4459
- SOAS University of London
Thornhaugh Street, Russell Square, London WC1H 0XG
- Russell Square: College Buildings
- Office No:
Professor of Quantitative Finance at SOAS – University of London. Previously Professor of Financial Econometrics at the University of Sheffield. Sometime visiting Professor at the Universities of Durham, Southampton and Minho. Research interests are in portfolio selection, asset pricing theory and the development of quantitative techniques for portfolio management. Has acted as advisor to several international investment managers. Founding editor of The European Journal of Finance. He has been as associate editor of several finance journals and Series C and D of the Journals of the Royal Statistical Society. Current research projects are in portfolio performance measurement, portfolio selection, skewness and option returns, with collaborations with universities in the UK, the European Union and China.
Asset pricing; Non-normal multivariate probability distributions; Portfolio performance measurement, Portfolio selection; Stein’s Lemma.
Adcock, C. J. and Meade, N (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, Christopher 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, M. Ceu and Armada, M. J. Rocha and Silva, F. (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 Sunday, 17th December 2017, 05:56 Europe/London.