Index
A
Active risk , 27 , 56 , 57
Active tilt funds , 55
ActiveLongOnly strategy , 40
Alpha and tracking error estimators, fi nite
sample properties of , 230 – 5
Alpha information , 262 – 5
incorporation , 76
Alpha uncertainty , 4 – 6 , 10 , 11
Approximation error , 293 – 4
Asset allocation problem , 150 – 3
Autoregressive conditional heteroskedastic
models (ARCH) , 120
Autoregressive moving average (ARMA)
models , 119
Averaging simulated optimization
methods, properties of , 225
alpha and tracking error estimators,
fi nite sample properties of ,
230 – 5
approximations accuracy , 236 – 8
general linear restrictions , 238 – 41
portfolio optimization, criticisms of ,
226 – 9
portfolio simulation, role of , 226 – 9
standard mean – variance optimal
portfolio problem , 241 – 4
Axioma Japanese statistical factor model ,
26 , 29 , 31 , 32
B
Bespoke optimization , 86
absence of forecast returns,
optimization in , 86 – 7
optimal portfolio with exactly 50 long
and 50 short holdings, production
of , 86
BITA
Curve , 54
GLO , 89 – 90
monitor , 54
Optimizer , 54 – 5 , 57 – 8
Risk , 54 , 58
Robust applications, to controlling FE ,
61
Robust optimization , 58 , 59 – 60 , 88 – 9
Star , 54
Bootstrap procedure , 163C
Center for International Securities and
Derivatives Markets (CISDM) ,
107
Charities, and endowments , 78 – 86
Charities Aid Foundation , 78
Conditional versus unconditional risk
measures , 295 – 6
Conditional value at risk (CVaR) , 133 ,
283
approximation error , 293 – 4
axiomatic diffi culties , 296 – 8
conceptional problems , 285
conditional versus unconditional risk
measures , 295 – 6
downside risk measures , 288
momentum investing in , 288 – 9
need for , 288
under-diversifi cation , 290 – 2
estimation error , 292 – 3
implementation problems , 285
risk measures and axiomatic
foundations , 283 – 5
simple algorithm, for optimization ,
285 – 8
Constant relative risk aversion (CRRA) ,
257 , 258
Constraining Contributions to Total
Risk , 66
Constraint elasticities , 40 , 41 , 47 , 49
Cumulative distribution function (CDF) ,
207 , 253
Custom reports, of WPA , 113