Professor of Financial Econometrics at the University of Sheffield and visiting Professor of Quantitative Finance at the University of Southampton. 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. He is founding editor of The European Journal of Finance and has been associate editor of several finance journals and Series C and D of the Journal of the Royal Statistical Society. Current research projects are in downside risk, portfolio selection, skewness and option returns, with collaborations with universities in the UK, the European Union and China.
Module Leader for MGT6105 Modern Finance. This is a specialist finance module which is quantitative and taught only to PG students in the Department of Economics.
Portfolio selection, asset pricing, non-normal multivariate probability distributions, portfolio performance measurement.
- Financial Economics
Professional Activities, Recognition and Other Information
- Editor of the The European Journal of Finance