Faculty Directory

Andrew Siegel

 

Office: 410 PACCAR Hall
Phone: 206-543-4476
Fax: 206-543-3968
Email: asiegel(at)uw.edu

Foster School of Business
University of Washington
Box: 353226
Seattle, WA 98195-3226

“The dose of reality provided by statistics helps you understand and make decisions involving complex issues. Also, probability gives you an objective framework to help assess the odds in the presence of uncertainty, telling you what is likely to happen in a case when it's impossible to know for sure what will happen.”

Andrew Siegel

Professor of Finance and Business Economics
Professor of Information Systems and Operations Management
Grant I. Butterbaugh Professor
Adjunct Professor of Statistics

Education

PhD Stanford University (1977)
MS Stanford University (1975)
BA Boston University (1973)

Academic Expertise

asset pricing
data analytics
data mining
derivatives
financial markets
investing
statistics

Industries

Biotechnology
Computer
Electronics
Technology

Current Research

Term structure of interest rates, Efficient use of conditioning information in portfolios, Portfolio formation in the presence of estimation uncertainty, Information revealed by international currency exchange options, Optimization of large-scale biotechnology processes

Positions Held

At the University of Washington since 1983
Assistant professor at Princeton University, 1979-1983
Assistant professor at the University of Wisconsin at Madison, 1977-1979
Visiting professor, Scholar, or Research Associate at:
Central Bank of France (Banque de France)
HEC Business School Paris
Université de Paris I – Pantheon-Sorbonne
Université de Bourgogne
Stanford University
Los Alamos Scientific Laboratories
Harvard University
Center for the Study of Futures Markets at Columbia University
The Smithsonian Institution

Selected Publications

  1. How Much Error is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error (forthcoming)
    Journal Article: Siegel, A., & Woodgate, A., (2015). Journal of Portfolio Management,
  2. Price-Admissibility Conditions for Arbitrage-Free Linear Price Function Models for the Term Structure of Interest Rates (forthcoming)
    Journal Article: Siegel, A., (2015). Mathematical Finance,
  3. Practical Business Statistics
    Book: Siegel, A., (2012). Boston: Academic Press
  4. Performance of Portfolios Optimized with Estimation Error
    Journal Article: Siegel, A., & Woodgate, A., (2009). Management Science, Vol. 53(6), pp. 1005-1015.
  5. Testing Portfolio Efficiency with Conditioning Information
    Journal Article: Ferson, W., & Siegel, A., (2009). The Review of Financial Studies, Vol. 22(7), pp. 2735-2758.
  6. A Data Integration Methodology for Systems Biology
    Journal Article: Atauri, P., Aitchison, Bolouri, H., J., Hood, L., Hwang, D., Leslie, D., Rust, A., Ramsey, S., Siegel, A., Smith, J., & Weston, A., (2005). Proceedings of the National Academy of Sciences of the United States of America, Vol. 102(48), pp. 17296–17301.
  7. Stochastic Discount Factor Bounds with Conditioning Information
    Journal Article: Ferson, W., & Siegel, A., (2003). The Review of Financial Studies, Vol. 16(2), pp. 567-595.
  8. A Three-Stage Clinical Trial Design for Rare Disorders
    Journal Article: Berger, V., Feldman, B., Honkanen, V., Siegel, A., Siegel, J., & Szalai, J., (2001). Statistics in Medicine, Vol. 20(20), pp. 3009-3021.
  9. The Efficient Use of Conditioning Information in Portfolios
    Journal Article: Ferson, W., & Siegel, A., (2001). The Journal of Finance, Vol. 56(3), pp. 967-982.
  10. Diversification in the Presence of Taxes
    Journal Article: Appeadu, C., Narasimhan, P., Siegel, A., & Stein, D., (2000). The Journal of Portfolio Management, Vol. 27(1), pp. 61-71.

Consulting

Design automation for microelectronics
Financial investment decision criteria
Election predictions for network television
Analysis of advertising effectiveness data

Honors and Awards

EMBA Excellence in Teaching Awards, 2014, 2013, 1988, 1986
Undergraduate Faculty of the Year in Finance and Business Economics, 2014
Burlington Northern Foundation Faculty Achievement Awards, 1992, 1986