Professor Chris Adcock

Management School

Honorary Professor

c.j.adcock@sheffield.ac.uk

Sheffield University Management School

Full contact details

Professor Chris Adcock
Management School
Sheffield University Management School
Conduit Road
Sheffield
S10 1FL

Profile

Previously Professor of Quantitative Finance at SOAS and before that Professor of Financial Econometrics at the University of Sheffield. 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.

The European Journal of Finance is at:
https://www.tandfonline.com/toc/rejf20/current

Select recent publications

Adcock, C. J. (2013) Ex Post Efficient Set Mathematics, The Journal of Mathematical Finance, 3, no.1A:201-210. https://www.scirp.org/html/6-1490161_29347.htm
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. https://www.sciencedirect.com/science/article/abs/pii/S0377221713005924
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. https://www.sciencedirect.com/science/article/pii/S0261560614001107
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. https://www.wiley.com/en-gb/Quantitative+Financial+Risk+Management:+Theory+and+Practice-p-9781118738184
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. https://www.tandfonline.com/doi/abs/10.1080/1351847X.2012.720269
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. https://www.tandfonline.com/doi/abs/10.1080/1351847X.2013.788537
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. https://www.tandfonline.com/doi/abs/10.1080/1351847X.2014.899260
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. https://www.sciencedirect.com/science/article/abs/pii/S0377221716309018
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. https://onlinelibrary.wiley.com/doi/abs/10.1111/beer.12174
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. https://orsociety.tandfonline.com/doi/abs/10.1080/01605682.2018.1542973#.XsT6_2hKhaQ
Adcock, C.J., Z. Landsman and T. Sushi (2019) Stein's Lemma for generalised skew-elliptical random vectors, Communications in Statistics – Theory and Methods, https://www.tandfonline.com/doi/abs/10.1080/03610926.2019.1678642
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. https://www.mdpi.com/2073-8994/12/1/118
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. https://www.tandfonline.com/doi/abs/10.1080/10293523.2020.1723865