Subject Index

Absolute risk aversion

Active investment strategy

After-tax return

Aggressive securities

Algorithmic trading

Alpha (see also Jensen's alpha)

Alpha intercept (see Alpha)

Alternative trading systems (ATS)

Appraisal ratio, (see Information ratio)

Arbitrage

Defined
Deterministic (see Risk free arbitrage)
Index
Risk free
Statistical

Arbitrage portfolio

ArcaEx

Archipelago

Asset allocation

Asset pricing model

Assumptions

Capital ax(sset pricing model
Capital market theory
Markowitz portfolio analysis
Portfolio analysis fundamental
Utility theory

Attainable efficient frontier

Axioms of utility

Bear market

Benchmark portfolio

Beta (see Undiversifiable risk)

Bayesian
Blume's technique
Calculation of
Consumption
Definition of
Determinants of
Forecasting
Portfolio
From risk premiums
Intertemporal moves
Nonstationarity
Random walk
Stability
Vasicek's technique

Black-Jensen, Scholes tests of CAPM

Black Monday

Borrowing and lending rates

Boston Stock Exchange (BSE)

Brennan's model

Broker

Bull market

Capital gains tax

Calculus minimization

Capital asset pricing model (CAPM)

Arbitrage pricing theory and
Asset pricing with the
Assumptions underlying
Borrowing and lending rates differ in
Cross-sectional tests of
Derivations of
Different lending and borrowing rates
Errors in variables issues
Extensions
Investment horizon
Market model and
Multivariate empirical tests
Tangency portfolio and
Taxes and the
Tests and
Transaction costs and
Unmarketable assets and
Zero-beta CAPM

Capital market ...

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