Faculty Directory

Professor Emeritus of Quantitative Methods

Adjunct Professor of Statistics

Education

PhD Stanford University (1977)

MS Stanford University (1975)

BA Boston University (1973)

Academic Expertise

Industries

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. “Debt Callability and Investment Incentives“

   Journal Article:Schall, L. & Siegel, A., (2016). Journal of Corporate Finance, Vol. 40, pp. 315-330.
2. “Practical Business Statistics“

   Book:Siegel, A., (2016). Boston: Academic Press

   • Reprint, originally published 2012
3. “Price-Admissibility Conditions for Arbitrage-Free Linear Price Function Models for the Term Structure of Interest Rates“

   Journal Article:Siegel, A., (2016). Mathematical Finance, Vol. 26(4), pp. 919-938.
4. “How Much Error is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error“

   Journal Article:Siegel, A., & Woodgate, A., (2015). Journal of Portfolio Management, Vol. 41(2), pp. 84-99.
5. “Performance of Portfolios Optimized with Estimation Error“

   Journal Article:Siegel, A., & Woodgate, A., (2009). Management Science, Vol. 53(6), pp. 1005-1015.
6. “Testing Portfolio Efficiency with Conditioning Information“

   Journal Article:Ferson, W., & Siegel, A., (2009). The Review of Financial Studies, Vol. 22(7), pp. 2735-2758.
7. “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.
8. “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.
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. “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.
11. “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

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