Professor Chris Adcock
Professor of Financial Econometrics
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Previously, a reader in finance and financial economics at the University of Bath. Before becoming an academic, his career included several years working in quantitative investment management in the City of London and, prior to that, a decade in management science consultancy. He has a first degree in mathematics and a PhD in mathematical statistics. Research interests are in portfolio selection and asset pricing theory and the development of quantitative techniques for portfolio management.
Has acted as an advisor to a number of international investment managers. Algorithms he has designed have been used by Citibank and DSI International Investment Management, now part of UBS, as well as to several other asset management groups.
He is the founding editor of The European Journal of Finance. He has been an associate editor of several finance journals and both Series C and D of the Journal of the Royal Statistical Society. He is one of the founding associate editors of the Journal of Mathematical Finance .
Research Interests
His research interests are centred round the development of portfolio selection and asset pricing theory when the standard assumptions of normally distributed returns do not hold. An aim of his research is to couple the rigorous development of theory with methods that can be used in practice. A major theme is the use of skew-elliptical distributions in finance. Two non-finance interests are the use of Bayes theorem for sample size determination and the use of Fourier transforms for problems in distribution theory.
Current Research
Current research projects include:
- Does the use of downside risk-adjusted measures impact performance rankings of UK investment trusts?; with Nelson Areal, Manuel Rocha Armada, Maria Ceu Cortez , Benilde Oliveira and Florinda Silva (University of Minho, Braga, Portugal)
- New Perspectives on Skewed Distributions in Finance and Actuarial Science, with Martin Eling (St Gallen) and Nicola N Loperfido (Urbino).
- Mean-Variance-Skewness Efficient Frontiers for Skew-Normal Distributions; with Martin Eling (St Gallen), Damiano Rossello (Catania), Luisa Tibiletti (Torino).
- Violations In The Returns On European Options Under The Black Scholes Model; with Xiuping Hua (Nottingham, Ningbo).
- Multivariate Normal Gamma Distributions, with Karl Shutes (Sometime Sheffield)
Teaching
Chris Adcock is the module leader for two core modules on the MSc in Finance and a number of related finance masters programmes, which are based in the department of economics. These are:
- MGT 6105: Modern Finance and
- MGT 6109: Asset Pricing
He is also module leader for the final year undergraduate module:
- MGT375: Introduction to Financial Derivatives
Recent Publications
Adcock, C. J., M. C. Cortez, M. Rocha Armada and F. Silva (2011) Time Varying Betas And The Unconditional Distribution of Asset Returns; Quantitative Finance, iFirst.
Adcock, C. J. (2010) Asset Pricing and Portfolio Selection Based on the Multivariate Extended Skew-Student-t Distribution, Annals of Operations Research, 176, p221-234.
Adcock, C. J. (2007) Extensions of Stein's Lemma for the Skew-normal Distribution, Communications in Statistics - Theory and Methods, 36, p1661-1672
Adcock, C. J. (2007) Measuring Portfolio Performance Using a Modified Measure of Risk, The Journal of Asset Management, 7, p388-403.
