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Beta lives - some statistical perspectives on the capital asset pricing model

Adcock, C. J.; Clark, E. A. - In: The European Journal of Finance 5 (1999) 3, pp. 213-224

This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples...

Persistent link: https://www.econbiz.de/10005471929

Estimating UK factor models using the multivariate skew normal distribution

Adcock, C. J. - In: Linear factor models in finance, (pp. 12-29). 2005

Persistent link: https://www.econbiz.de/10003304023

Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution

Adcock, C. J. - 2010

Persistent link: https://www.econbiz.de/10003964883

Risk seeking and measures of portfolio performance

Adcock, C. J. - In: International Journal of Portfolio Analysis and Management 1 (2012) 2, pp. 161-178

Persistent link: https://www.econbiz.de/10009765941

Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-student distribution

Adcock, C. J. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 392-401

Persistent link: https://www.econbiz.de/10010356747

Exploiting skewness to build an optimal hedge fund with a currency overlay

Adcock, C. J. - In: The European journal of finance 11 (2005) 5, pp. 419-443

Persistent link: https://www.econbiz.de/10003183304

An empirical study of portfolio selection for optimally hedged portfolios

Adcock, C. J. - In: Multinational finance journal : MF ; quarterly … 7 (2003) 1/2, pp. 83-106

Persistent link: https://www.econbiz.de/10001850005

A Bayesian approach to calculating sample sizes

Adcock, C. J. - In: The statistician : journal of the Institute of Statisticians 37 (1988) 4, pp. 433-439

Persistent link: https://www.econbiz.de/10001077475

Pre-sampling procedures

Adcock, C. J. - In: The statistician : journal of the Institute of Statisticians 38 (1989) 2, pp. 107-115

Persistent link: https://www.econbiz.de/10001070458

An extension of the generalised skew student distribution with applications to modelling returns on financial assets

Adcock, C. J.; Meade, N. - 2003

Persistent link: https://www.econbiz.de/10001750357

A service of the