Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

306 Index

Stochastics, of threshold accepting ,
215 – 17
Style analysis , 176
Style blend , 176
Substitution Effect , 84
SunGard APT risk model , 12
medium-term model risk , 12 , 13 , 14
portfolio variance on , 6
short-term model risk , 12 , 14
Systematic risk, constraints on , 6 – 12
and alpha uncertainty:
with portfolio specifi c volatility , 11
with portfolio systematic volatility ,
11
portfolio , 7
portfolio specifi c volatility , 10
portfolio volatility with , 9

T
Tax liability – expected return frontier , 36
Threshold acceptance , 260 – 1
pseudocode , 273 – 4
Threshold accepting (TA) , 201
algorithm , 210 – 11
diagnostics:
arbitrage opportunities , 218 – 19
benchmarking algorithm , 218
neighborhood and thresholds ,
219 – 20
objective functions, degeneration ,
219
implementation:
constraints , 215
neighborhood function , 213
objective function , 211 – 13
stopping criterion , 215
threshold sequence , 213 – 15
portfolio optimization problems , 204
problem, summarized , 209
risk and reward , 204 – 8
stochastics , 215 – 17
Tracking error , 27
and turnover values , 37
using SunGard APT medium-term
model , 14
using SunGard APT short-term model ,
14
Treating Customers Fairly Management
Information (TCF MI) , 54

U

UK Voluntary Almanac 2006 , 78

Unbounded distribution , 251

Unconditional versus conditional risk

measures , 295 – 6

Under-diversifi cation , 290 – 2

Utility theory , 161

V

Value at risk (VaR) , 202

defi nition and properties , 145 – 7

modelling EVaR dynamically , 147 – 50

Variance , 72

Volatility (VOL) , 292

W

Wealth and income analysis, of WPA , 113

Windham Financial Planner (WFP) , 93

Windham Portfolio Advisor (WPA) , 93

custom reports , 113

features , 111 – 13

full-scale optimization , 94 , 111 – 12

problem , 104

WPA solution , 104 – 7 , 108 , 109 , 110

multigoal optimization , 93 , 94

problem , 94

WPA solution , 94 – 6

parametric optimization , 111

portfolio attributes , 112

return estimation , 111

risk budgets , 113

risk estimation , 111

risk regimes , 94

problem , 101

WPA solution , 101 – 4

wealth and income analysis , 113

within-horizon risk measurement , 93

problem , 97

WPA solution , 97 – 101

Within-horizon risk measurement, of

WPA , 93

problem , 97

WPA solution , 97

end-of-horizon exposure to loss , 98

within-horizon exposure to loss ,

99 – 101

Z

Z* optimality , 274 – 5