Items where authors include "Adcock, C.J."

Article

Adcock, C.J. (2023) The linear skew-t distribution and its properties. Stats, 6 (1). pp. 381-410. ISSN 2571-905X

Adcock, C.J. (2022) Properties and limiting forms of the multivariate extended skew-normal and skew-student distributions. Stats, 5 (1). pp. 270-311.

Adcock, C.J. (2010) Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution. Annals of Operations Research, 176 (1). pp. 221-234. ISSN 0254-5330

Adcock, C.J. (2007) Measuring portfolio performance using a modified measure of risk. Journal of Asset Management, 7 (6). pp. 388-403. ISSN 1470-8272

Adcock, C.J. (2007) Extensions of Stein's lemma for the skew-normal distribution. Communications in Statistics - Theory and Methods, 36 (9-12). pp. 1661-1671. ISSN 0361-0926

Adcock, C.J. (2005) Exploiting skewness to build an optimal hedge fund with a currency overlay. The European Journal of Finance, 11 (5). pp. 445-462. ISSN 1351-847X

Adcock, C.J. and Shutes, K. (2005) An analysis of skewness and skewness persistence in three emerging markets. Emerging Markets Review, 6 (4). pp. 396-418. ISSN 1566-0141

Adcock, C.J. (2003) Empirical study of portfolio selection for optimally hedged portfolios. Multinational Finance Journal, 7. pp. 83-106. ISSN 1096-1879

Adcock, C.J. (2000) The dynamic control of risk in optimised portfolios. The IMA Journal of Mathematics Applied in Business and Industry, 11. pp. 127-138. ISSN 0953-0061

Adcock, C.J. and Clark, E.A. (1999) Beta lives - some statistical perspectives on the capital asset pricing model. The European Journal of Finance, 5 (3). pp. 213-224. ISSN 1351-847X

Adcock, C.J. (1997) Sample size determination - a review. Royal Statistical Society Series D (The Statistician), 46. pp. 261-284. ISSN 0039-0526

Adcock, C.J. (1997) The choice of sample size and the method of expected utility - comments on the paper by Lindley. Royal Statistical Society Series D (The Statistician), 46. pp. 155-162. ISSN 0039-0526

Adcock, C.J. (1995) Bayesian sample size determination - some comments on the paper by Joseph Wolfson and du Berger. Royal Statistical Society Series D (The Statistician), 44. pp. 155-162. ISSN 0039-0526

Adcock, C.J. and Meade, N. (1994) A simple algorithm to incorporate transactions costs in quadratic optimisation. European Journal of Operational Research, 79 (1). pp. 85-94. ISSN 0377-2217

Adcock, C.J. (1993) An improved bayesian approach to calculating sample sizes for multinomial sampling. Royal Statistical Society Series D (The Statistician), 42. pp. 91-96. ISSN 0039-0526

Adcock, C.J. (1992) Bayesian sample size determination - some comments on the paper by Pham-Gia and Turkkan. Royal Statistical Society Series D (The Statistician), 41. pp. 399-404. ISSN 0039-0526

Adcock, C.J. (1989) Pre-sampling procedures. Royal Statistical Society Series D (The Statistician), 38. pp. 107-116. ISSN 0039-0526

Adcock, C.J. (1988) A bayesian approach to calculating sample sizes. Royal Statistical Society Series D (The Statistician), 37. pp. 433-440. ISSN 0039-0526

Adcock, C.J. (1988) A service system model for sales forecasting. Royal Statistical Society Series D (The Statistician), 37. pp. 205-212. ISSN 0039-0526

Adcock, C.J. (1987) A bayesian approach to calculating sample sizes for multinomial sampling. Royal Statistical Society Series D (The Statistician), 36. pp. 155-160. ISSN 0039-0526

Adcock, C.J. (1986) Choosing linear approximations to a non-linear model - a case study. Royal Statistical Society Series D (The Statistician), 35. pp. 245-250. ISSN 0039-0526

Book Section

Adcock, C.J. (2005) Estimating UK factor models using the multivariate skew-normal distribution. In: Satchell, S.E. and Knight, J., (eds.) Linear Factor Models in Finance. Butterworth Heinemann , Oxford, UK , pp. 12-30. ISBN 0-7506-6006-6

Adcock, C.J. (2004) Capital asset pricing for UK stocks under the multivariate skew-normal distribution. In: Genton, M., (ed.) Skew Elliptical Distributions and Their Applications: A Journey Beyond Normality. Chapman and Hall , Boca Raton, Florida , pp. 191-204. ISBN 1-58488-431-2

Adcock, C.J. (2003) Predicting portfolio returns using the distributions of efficient set portfolios. In: Satchell, S.E. and Scowcroft, A,, (eds.) Advances in Portfolio Construction and Implementation. Butterworth Heinemann , Oxford, UK , pp. 342-357. ISBN 0-7506-5448-1

Adcock, C.J. (2001) Portfolio optimisation. In: Taylor, J. and Shadbolt, J., (eds.) Neural Networks and the Financial Markets. Springer Verlag , London, UK , pp. 221-245. ISBN 1-85233-531-9

Adcock, C.J. and Shutes, K. (2000) Fat tails and the capital asset pricing model. In: Dunis, C., (ed.) Advances in Quantitative Asset Management. Kluwer Academic Press , Boston, Mass. , pp. 17-41. ISBN 0-7923-7778-8