Education
- PhD Stanford University (1977)
- MS Stanford University (1975)
- BA Boston University (1973)
Expertise
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
“Debt Callability and Investment Incentives”
Schall, L., and Siegel, A., (2016). Journal of Corporate Finance, Vol. 40, pp. 315–330.
“Practical Business Statistics”
Siegel, A., (2016). Boston: Academic Press. Reprint, originally published 2012.
“Price-Admissibility Conditions for Arbitrage-Free Linear Price Function Models for the Term Structure of Interest Rates”
Siegel, A., (2016). Mathematical Finance, Vol. 26(4), pp. 919–938.
“How Much Error Is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error”
Siegel, A., and Woodgate, A., (2015). Journal of Portfolio Management, Vol. 41(2), pp. 84–99.
“Performance of Portfolios Optimized with Estimation Error”
Siegel, A., and Woodgate, A., (2009). Management Science, Vol. 53(6), pp. 1005–1015.
“Testing Portfolio Efficiency with Conditioning Information”
Ferson, W., and Siegel, A., (2009). The Review of Financial Studies, Vol. 22(7), pp. 2735–2758.
“A Data Integration Methodology for Systems Biology”
Atauri, P., Aitchison, J., Bolouri, H., Hood, L., Hwang, D., Leslie, D., Rust, A., Ramsey, S., Siegel, A., Smith, J., and 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”
Ferson, W., and Siegel, A., (2003). The Review of Financial Studies, Vol. 16(2), pp. 567–595.
“The Efficient Use of Conditioning Information in Portfolios”
Ferson, W., and Siegel, A., (2001). The Journal of Finance, Vol. 56(3), pp. 967–982.
“A Three-Stage Clinical Trial Design for Rare Disorders”
Berger, V., Feldman, B., Honkanen, V., Siegel, A., Siegel, J., and Szalai, J., (2001). Statistics in Medicine, Vol. 20(20), pp. 3009–3021.
“Diversification in the Presence of Taxes”
Appeadu, C., Narasimhan, P., Siegel, A., and Stein, D., (2000). The Journal of Portfolio Management, Vol. 27(1), pp. 61–71.
Honors and Awards
Undergraduate Faculty of the Quarter in Finance and Business Economics, 2016, 2015
EMBA Excellence in Teaching Awards, 2016, 2015, 2014, 2013, 1988, 1986
Ron Crockett Award for Excellence in Graduate Teaching, 2015
Undergraduate Faculty of the Year in Finance and Business Economics, 2014
Burlington Northern Foundation Faculty Achievement Awards, 1992, 1986
Industries
Computer
Electronics
Technology
- Email : [email protected]
Academic Department
Information Systems & Operations Management
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