Index Page 757 Wednesday, February 4, 2004 1:13 PM
Index
Abramowitz, Milton, 249
Absolute summation, 289, 293
Abstract factors, 534–537
Accounting
issues, 5–6
surplus, 40
Accrued interest, 53
Accumulation point, 100
Acerbi, Carlo, 749
Active bond strategies, 651
Active investing, 566–577
bottom-up approaches, 567–568
top-down approaches, 566–567
Active management. See Full-
blown active management
fundamental law, 568–571
risk factor mismatches, 650
Active portfolio
management, passive portfolio
management (contrast),
552–553
return, 569
strategy, 6. See also High-risk
active portfolio strategies
Active return, 552, 554, 751
Active reward-to-active risk, 570
Active risk, 579, 582
decomposition, 579–580
Active systematic-active residual risk
decomposition, 580–581
Actual tracking error, 555
Addition operation, 154, 157–158
ADF. See Augmented Dickey-
Fuller
Adjoint operation, 159–160
Adjustment models, 285
Adler, R.J., 355, 389
Agent decision-making process,
determinant, 167
Aggregation, distribution iden-
tity, 386
AIC. See Akaike Information
Criteria
Aigner, D.J., 334
Akaike, H., 318
Akaike Information Criteria (AIC),
318
Aldous, David, 327
Alexander, Carol O., 344, 545,
565Algebra, 169–173, 183–185. See
also Matrices
sequence, 226
Algorithms, development, 16
Alpha, 552, 576, 751
Amaral, Luis A.N., 390, 522
American options, 65, 68
valuation, 429
American securities, valuation, 429
American Stock Exchange (AMEX/
ASE), 46
Analytic tractability, absence, 695
Andersen, T.G., 346
Anderson, Philip W., 380
Annual tracking error, 554
Anson, Mark J.P., 679, 695, 710,
714, 734
Anticipation, admitting, 224
Antidiagonals, 145–146
Antinomies, 93
Aoki, Masanao, 309, 538
Aoyama, H., 388
Approximation schemes, usage, 264
APT. See Arbitrage pricing the-
ory; Asset pricing theory
Arbitrage, 89–90. See also Sta-
tistical arbitrage
absence, 84–85, 414, 467, 605
implications, 467
arguments, 60, 66, 68–69
usage, 607
avoidance, 640
models, 634. See also No-
arbitrage models
opportunities, 431, 711
absence, 434
recognition, 606
principle, 393–395
profits, obtaining, 64
Arbitrage pricing, 89, 393, 441.
See also Continuous time;
Continuous-state contin-
uous-time; Discrete-time
continuous-state setting;
Multiperiod finite-state
setting; One-period set-
ting
computation, 445
development. See Continuous-
state arbitrage pricingmodels, 511
payoff rate, 466–467
principle, 446
Arbitrage pricing theory (APT),
76, 88–89, 396, 529
models, 435–438
testing, 436–438
Arbitrage-free market, 433
Arbitrage-free models, equilib-
rium models (contrast),
634–635
Arbitrage-free pricing, theory, 639
Arbitrage-free value, 606
spot rates, usage. See Bonds
ARCH
behavior, 574
method, 547
models, 12, 286, 288
usage, 345–347, 741
processes, 312, 382–383
ARDL. See Auto Regressive
Distributed Lag; Autore-
gressive Distributed Lag
ARIMA. See Autoregressive inte-
grated moving average
Arithmetic Brownian motion,
279, 280, 326, 447
Arithmetic random walk, 326,
340
ARMA. See Autoregressive mov-
ing average
Arrays. See Ordered arrays
Arrow, Kenneth, 180
Arthur, W.B., 380
Artificial probability measure, 414
Artzner, Philippe, 748
Asset allocation decision
application, 494–507
inputs, 495–499
Asset pricing theory (APT) mod-
els, 335
Asset-backed securities (ABSs),
4, 55, 653
Asset/liability management, over-
view, 39–40
Asset/liability problem, 43
Assets. See Nonreproducible assets;
Reproducible assets
allocation model, extensions,
507–508757