Index Page 769 Wednesday, February 4, 2004 1:13 PM
Index 769
Matrices (Cont.)
operations, 153, 156–160
polynomial, 301
product, 158
operation, 159
transpose, 156
Maturity, 23–24. See also
Bonds; Bullet maturity;
Claims; Term to maturity
intermediation, 36
value, 52
Maxima, 202–204, 362–368, 490
discovery, 205
Maximum, usage, 99, 209
Maximum domain of attrac-
tions (MDA), 366, 376.
See also Frechet distribu-
tion; Gumbel distribu-
tion; Weibull distribution
Maximum likelihood estimate
(MLE), 319–324
methods/techniques, 438, 534
Maximum likelihood (ML), 320
estimator, 321–323
methodology, 375, 437
Max-stable distributions, 368
McElroy, Marjorie B., 436
McEnnally, Richard W., 593, 616
McNeil, Alexander, 189, 329
Mean-reverting portfolio, 576
Mean-variance analysis (M-V
analysis) (Markowitz), 8,
202, 211, 499. See also
Portfolios
extension, 508. See Inequality
constraints
usage, 471–477, 495
Mean-variance model, 508
Mean-variance pairs, selection, 476
Mean-variance portfolio
management, 8
selection, 486
Mean-variance-efficient portfolios,
473
Measurable function. See Real-
valued measurable function
Measurable space, 173
Measure, 171–172
space, 172
Meeraus, A., 666
Mehta, M.L., 329
Menger, Carl, 77
Merrill Lynch Domestic Mar-
ket Index, 649
Merton, Robert C., 76, 87–90,
522, 684. See also Black-
Scholes-Merton Model
Messages, probability, 181
Metafile. See Descriptive metafile
Meyer, M., 390
Mid Cap 400 Index, 561
Mid-capitalization stocks, 3
Middle-of-the-road stocks, 563
Midwest Exchange, 46
Migration risk, 703
Mikosch, Thomas, 80, 353,
355, 385, 388
Miller, Merton H., 75, 83–85,
- See also Modigliani-
Miller irrelevance theorem;
Modigliani-Miller theorem
Minima, 202–204, 490
discovery, 205
Minimum, usage, 99, 209
Minimum variance portfolios, 473
Mittnik, S., 389
Mixed-integer programming (MIP),
666
Modeling. See Economic model-
ing; State-space modeling
approaches, 14, 710
tools, industry evaluation,
13–15
Models, 283. See also Asset
pricing theory; Autore-
gressive moving average;
Multifactor models
complexity, 317–319
problem, 318
selection, 315–317
suite, engineering principles,
17–18
unconstrained search, 316
Modern Portfolio Theory (MPT),
471
Modigliani, Franco, 75, 83–85
Modigliani-Miller irrelevance
theorem, 84–85
Modigliani-Miller theorem, 84
Moment ratio estimator, 377
Moments/correlation, 186–188
Monetary mass (M3), 340
Moneyness, 22
Monfort, Alain, 303, 317
Monte Carlo simulations, usage,
494
Monthly tracking error, 554
Mortgage-backed securities (MBSs),
4, 55
prepayment risk, 653
risk, 653
volatility risk, 653
Morton, Andrew J., 640, 709.
See also Heath-Jarrow-
Morton Model
Mossin, Jan, 76, 86–87, 334
Moving average, 571–572. See
also Stationary univari-
ate moving average;
Time series
process, 298
representation. See Linear
infinite moving average
representation
MSCI EM Free, 497
Muller, Peter, 487, 491
Muller, U.A., 377, 389
Multex, usage, 17
Multidimensional map, 278
Multidimensional observations, 337
Multidimensional trend station-
ary series, 311
Multifactor CAPM, 87–88, 511
Multifactor models, 332–338,
333, 530–537, 746
usage. See Common stocks
Multifactor risk models, 532,
- See also Barra
application, 577–589
illustration, 654–661
usage, 565, 578
Multifactor term structure model,
632–634
Multiperiod finite-state setting,
arbitrage pricing, 402–423
Multiperiod stochastic optimi-
zation, 492–494
Multiple market maker systems,
45–46
Multiple stepup note, 55
Multiple-period immunization,
668
Multiplication operation, 154–
156, 158–159
Multiplicative state-space method,
547
Multiplicative state-space mod-
els, 384
Multistage stochastic optimiza-
tion, description, 676
Multistage stochastic program-
ming, 675–677
Multivariate distribution, 732
Multivariate function, 202–203
Multivariate GARCH, 548
Multivariate models. See Non-
stationary multivariate
ARMA models; Station-
ary multivariate ARMA
models
Multivariate random walk model,
327, 339
Multivariate stationary series,
293–295
Multivariate time series, 285
Multivariate white noise, 338
Mulvey, John M., 392, 473
Municipal bonds. See U.S.
municipal bonds
Municipal government bond
issue, 663
Musiela, Marek, 644. See also
Brace-Gatarek-Musiela
Model
Mutual funds, 87
investment, 36
liabilities, 42
Myopic one-period optimization
models, 492
Nagahara, Y., 388
Naive set theory, 93
NASDAQ-AMEX Market Group,
Inc., 46