Professor Chris Adcock

Management School

Honorary Professor

Prof Chris Adcock
Profile picture of Prof Chris Adcock
c.j.adcock@sheffield.ac.uk
91Ö±²¥ University Management School

Full contact details

Professor Chris Adcock
Management School
91Ö±²¥ University Management School
Conduit Road
91Ö±²¥
S10 1FL
Profile

Previously Professor of Quantitative Finance at SOAS and before that Professor of Financial Econometrics at the University of 91Ö±²¥. 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 . 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.

The European Journal of Finance is at:

Select recent publications
  • Adcock, C. J. (2013) Ex Post Efficient Set Mathematics, The Journal of Mathematical Finance, 3, no.1A:201-210.
  • Adcock, C. J. and X. Hua (2013) Asset Pricing under Financial Repression: Evidence from the Chinese Real Estate Boom during 1999-2010, in Developing China’s Capital Market, (Douglas Cumming, Alessandra Guariglia, Wenxuan Hou and Edward Lee, Editors), Basingstoke, Palgrave MacMillan. (Print ISBN978-1-349-46513-2, Online ISBN978-1-137-34157-0).
  • Adcock, C. J. (2014) Mean-Variance-Skewness Efficient Surfaces, Stein’s Lemma and the Multivariate Extended Skew-Student Distribution, The European Journal of Operational Research, 234, no.2:392-401.
  • Adcock, C. J., X. Hua, K. Mazouz and S. Yin (2014) Does the Stock Market Reward Innovation? European Stock Index Reaction to Negative News during the Global Financial Crisis, The Journal of International Money and Finance, 49, B:470-491.
  • Adcock, C. J. (2015) Statistical Properties and Tests of Efficient Frontier Portfolios, in Quantitative Risk Management: Theory and Practice, Constantin Zopounidis & Emilios Galariotis, (Editors), Hoboken NJ, John Wiley and Sons.
  • Adcock, C. J., Eling, M. and N. Loperfido (2015) Skewed Distributions in Finance and Actuarial Science: A Review, The European Journal of Finance, 21, no.13-14:1253-1281.
  • Adcock, C. J., X. Hua and Y. Huang (2016) Are Chinese Stock and Property Markets Integrated or Segmented? The European Journal of Finance, 22, no.4-6:345-370.
  • Adcock, C. J., X. Hua, K. Mazouz and S. Yin (2017) Derivative activities and Chinese banks’ exposures to exchange rate and interest rate movements, The European Journal of Finance, 23, no.7-9:727-751.
  • Adcock, C. J. and N.  Meade (2017) Using Parametric Classification Trees For Model Selection with Applications to Financial Risk Management. The European Journal of Operational Research, 259, no.2:746-765.
  • Leite, C., M. Cortez, F. Silva and C. Adcock (2017) The Performance of Socially Responsible Equity Mutual Funds: Evidence from Sweden, Business Ethics: A European Review, 27, no.2:108-126.
  • Adcock, C. J., C. Ye, S. Yin and D. Zhang (2019) Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach, The Journal of the Operational Research Society, 70, no.10:1709-1719.
  • Adcock, C.J., Z. Landsman and T. Sushi (2019) Stein's Lemma for generalised skew-elliptical random vectors, Communications in Statistics – Theory and Methods,
  • Adcock, C. J. and A. Azzalini (2020) A selective overview of skew-elliptical and related distributions and of their applications, Symmetry, 12, no.1:118.
  • Adcock, C. J., N. Areal, M. Cortez, B. Oliveira and F. Silva (2020) Does the choice of fund performance measure matter? Investment Analysts Journal, 49, no.1:53-77.