Office: 410 PACCAR Hall
Foster School of Business
University of Washington
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.”
- Professor of Finance and Business Economics
- Professor of Information Systems and Operations Management Grant I. Butterbaugh Professor
- Adjunct Professor of Statistics
- PhD Stanford University (1977)
- MS Stanford University (1975)
- BA Boston University (1973)
- asset pricing
- data analytics
- data mining
- financial markets
- 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
- 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
- “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,
- “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,
- “Practical Business Statistics“
Book: Siegel, A., (2012). Boston: Academic Press
- “Performance of Portfolios Optimized with Estimation Error“
Journal Article: Siegel, A., & Woodgate, A., (2009). Management Science, Vol. 53(6), pp. 1005-1015.
- “Testing Portfolio Efficiency with Conditioning Information“
Journal Article: Ferson, W., & Siegel, A., (2009). The Review of Financial Studies, Vol. 22(7), pp. 2735-2758.
- “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.
- “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.
- “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.
- “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.
- “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.
- 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