Prof. Christopher Adcock

SOAS–University of London, UK

Email: c.j.adcock@soas.ac.uk

Qualifications

1973 Ph.D., University of Southampton, Statistics

1969 B.Sc., University of Southampton, Mathematics

Publications (Selected)

1. Adcock, C. J. (2013) Mean-Variance-Skewness Efficient Surfaces, Stein’s Lemma and the Multivariate Extended Skew-Student Distribution, to appear in The European Journal of Operational Research.
2. Adcock, C. J. (2013) Stein’s Lemma for Skew-normal Distributions: A Comment and an Example, The Journal of Applied Probability and Statistics. 8, 58-64.
3. Adcock, C. J. (2013) Ex Post Efficient Set Mathematics, The Journal of Mathematical Finance. 3, 201-210.
4. Adcock, C. J., X. Hua and Y. Huang (2013) Are Chinese Stock and Property Markets Integrated or Segmented? to appear in The European Journal of Finance.
5. Adcock, C. J., N. Areal, M. R. Armada, M. C. Cortez,  B. Oliveira and F. Silva (2012) Tests of the Correlation between Portfolio Performance Measures; with  to appear in The Journal of Financial Transformation.
6. Adcock, C. J. (2012) Risk Seeking and Measures of Portfolio Performance, to appear in The International Journal of Portfolio Analysis and Management.
7. Adcock, C. J. and K. Shutes (2012) On the Multivariate Extended Skew-Normal, Normal-exponential and Normal-gamma Distributions; with Karl Shutes (Wageningen), The Journal of Statistical Theory and Practice, 6, 636-664.
8. Adcock, C. J., M. Eling and N. Loperfido (2012) Skewed Distributions in Finance and Actuarial Science: A Review, to appear in The European Journal of Finance.
9. Adcock, C. J., M. R. Armada,  M. C. Cortez F. Silva (2012) Time Varying Betas And The Unconditional Distribution of Asset Returns, Quantitative Finance, 12(6), 951-967.
10. Adcock, C. J. and X. Hua (2012) Asset Pricing under Financial Repression: Evidence from the Chinese Real Estate Boom during 1999-2010, with Xiuping Hua (Nottingham, Ningbo), to appear in Experiences and Challenges in the Development of the Chinese Capital Market (Douglas Cumming, Alessandra Guariglia, Wenxuan Hou and Edward Lee, Editors), Palgrave MacMillan, Basingstoke.
11. Adcock, C. J. (2010) Asset Pricing and Portfolio Selection Based on the Multivariate Extended Skew-Student-t Distribution, Annals of Operations Research, 176, 221-234.
12. Adcock, C. J. (2007) Extensions of Stein’s Lemma for the Skew-normal Distribution, Communications in Statistics – Theory and Methods, 36, 1661-1672.
13. Adcock, C. J. (2007) Measuring Portfolio Performance Using a Modified Measure of Risk, The Journal of Asset Management. 7, 388-403.

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