Index
ABS. See Asset-backed securities (ABS)
Active portfolio management
active space
attribution analysis
benchmarks
parameter values
performance attribution
portfolio construction
Active space
AIG
The Alchemist (Coelho)
Allocations:
minimum variance portfolios with capped allocations
strategic asset allocation
ALM. See Asset liability modeling (ALM)
Alpha estimates, private equity
Alt-A mortgages
Amortization formula
Annuities
Anomalies
behavioral finance
Black, Jensen, and Scholes (BJS) methodology
deviations from CAPM
Applications. See Data and applications
APT. See Arbitrage pricing theory (APT)
Arbitrage pricing theory (APT)
ARCH
Arithmetic averages
ARM
ARMA model
Asset-backed securities (ABS)
Asset liability modeling (ALM)
At the money (ATM)
Attribution analysis
Autoregressive (AR) model
Bank of America
BARRA multifactor model
BARRA USE 3L
BASEL
Basel II
Basis risk:
hedging
spot prices, relationship with forward (futures) prices
Bayesian PDF
Bayesian setups
Bayes's rule
Bazdarich, Michael
BDT model. See Black-Derman-Toy (BDT) model
Bear spreads
Bear Stearns
Beginning of month (BOM) durations
Behavioral finance
BE/ME. See Book-to-market value of equity (BE/ME)
Benchmarks:
active portfolio management
to market portfolio
Beta estimates, private equity
Binomial lattice, deriving the parameters of
BIRR multifactor model
BJS. See Black, Jensen, and Scholes (BJS) methodology
Black-Derman-Toy (BDT) model
Black, Fisher
Black, Jensen, and Scholes (BJS) methodology
Black-Litterman ...