Index Page 763 Wednesday, February 4, 2004 1:13 PM
Index 763Efficiency. See Semistrong effi-
ciency; Strong-form effi-
ciency; Weak efficiency
Efficient frontier, 473. See also
Markowitz efficient frontier
Efficient markets, 85–86
theory, 79
Efficient portfolios, 472. See
also Markowitz efficient
portfolios
set, 474
solving, 499
Eichhorn, David, 507
Eigenvalues, 160–161, 293–
294, 330. See also Vari-
ance-covariance matrix
number, 343, 522–523
Eigenvectors, 160–161, 332
usage, 523, 536
Electronic communication net-
works (ECNs), 46
Electronic transactions, diffu-
sion, 12–13, 76, 284
Elementary functions, 222, 233.
See also Bounded ele-
mentary function
stochastic integral, definition, 234
Elements. See Matrices
Embedded call option, 116
Embedded option, value, 117
Embrechts, Paul, 80, 189, 329,
353, 355, 385, 388
Empirical analogue, derivation.
See Capital market line
Empirical data, 167
Empirical distribution function, 370
Employee Retirement Income
Security Act (ERISA) of
1974, 42
Empty sets, 95
Endowments, 45
Endpoint. See Right endpoint
Engle, R.F., 334, 346, 540, 543,
548
Engle-Granger method, 543
Enhanced index portfolio, 554
tracking error, 555
Enhanced indexing, 9, 553
matching risk factors, 650
minor risk factor mismatches,
650
strategy, 650
Entities, classification, 34–35
Entropy, 747
maximization, principle, 492
Equality constraints, 207, 211
Equality modulo sets, 179
Equilibrium market price. See Risk
Equilibrium models, 637
contrast. See Arbitrage-free
models
Equilibrium system. See General
equilibrium system
Equilibrium theories. See Gen-
eral Equilibrium TheoriesEquity
claim, 22
indexes, types, 93–94
investment styles, 560
log-price processes, set, 544
long-term expected return, 508
management, depth/goodness,
569
market, 25
portfolio management, 551
process, integration, 551–552
prices, cointegration (empiri-
cal evidence), 343–345
REIT, 587
securities, 45
volatility, 694
Equity styles
classification system, 562–564
management, 560–564
types, 560–562
Equivalent Martingales, 89–90
measures, 414–415, 446, 457–
463
density process, 419
usage, 455, 468. See also
Complete markets; State
prices
Equivalent probability measures,
concept, 415
Error Correction Model (ECM),
341–342
usage, 539
Error term, 559. See also Non-
factor error term
Estimated earnings growth, 532
Estimation, 315, 373–378, 384–385
Estimator. See Hill estimator;
Pickand estimator
efficiency, 319–320
unbiasedness, 319–320
Euclidean length. See Vectors
Euclidean space, 169. See also n-
dimensional Euclidean
space; Three-dimensional
Euclidean space
Euler, Leonard, 213
Euler approximation, 250, 645
Euler condition, 493
Euler-Lagrange equation, 213
European call options, valuation,
69
European derivative instrument, 429
European options, 65, 68, 447, 639
pricing, generalizing, 452–454
European simple derivatives,
valuation, 427–429
European stock options, 742–743
Events. See Outcomes/events
algebra, 441
dynamic nonlinear self-rein-
forcing cascades, 380
indicator function, 729
Ex ante Markowitz efficient
frontier, 520
Ex ante tracking error, 556Exceedances, point process,
371–373, 373
Excess cash, reinvestment, 664
Excess return. See Total excess
return
Excess risk. See Total excess risk
Exchange rate, 70
Exchangeable bond, 56
Exchange-imposed restrictions,
28, 83
Exchange-traded option, 65
Execution
costs, 33, 64
measurement, 34
speed, 32
Exercise options, 65
Exercise price, 64
Existence, theorem, 274
Exogenous factors, 532–534, 546
Expansion periods, 347
Expectation. See Conditional
expectation; Homoge-
neous expectations
theories, 613–618. See also
Local expectations theory;
Pure expectation theory;
Return-to-maturity expec-
tations theory; Unbiased
expectations theory
Expectation Maximization (EM)
algorithm, 348
Expected excess return, 751
Expected return, 7. See also
Future expected return
volatility, 68
Expected shortfall (ES), 749
Expected Shortfall Risk (ESR), 391
Expiration date, 64
Explanatory model, 285
Exponential distribution, 698
eXtensible Markup Language
(XML), development, 16–17
Extra-market risks, 88
Extra-market sources, 87
Extremal events, 353
Extremal random variables, 365
Extreme point, 209
Extreme value distributions. See
Generalized extreme value
distributions; Standard
extreme value distributions
Extreme Value Theory (EVT),
353, 373, 491–492. See
also Independent and
identically distributed
applicability. See Finance
usage, 750
Fabozzi, Frank J., 33, 82, 85, 494,
497, 500, 503–508, 532,
556–558, 582, 583, 586,
588, 590, 635, 637, 664,
667, 679, 695, 710, 714,- See also Kalotay Will-
iams and Fabozzi Model