after-tax returns, 543-544 Equilibrium approach, generally: benefits of, 3-6 Capital Asset Pricing Model fCAPM), 36, 77 Equilibrium expected returns, forecasting, 422 Equity allocations: overfunded, 119, 120,122,125 underfunded, 118-121, 130 Equity index funds, 565 Equity index futures, 414, 470-471 Equity investments: Capital Asset Pricing Model (CAPM), 40 portfolio risk, 36-38 Equity long/short sector, hedge funds, 490, 494^95, 498 Equity market, 30 Equity market neutral, 490, 494-495, 498 Equity-only equilibrium, 79 Equity portfolio management (EPM): forecasts, 419-426 overview, 416-417 portfolio construction, 427-431 quantitative approach to, 418-419 results evaluations, 432-434 returns, forecasting, 417, 420-422 risk monitoring, 432-433 risks, forecasting, 417, 422-423 trading, 431-432 traditional approach to, 417-419 transaction costs, forecasting, 423-425 updating investment process, 432-434 Equity portfolio structure, 579-590 Equity premium puzzle, 48, 51 Equity risk, 130 Equity risk factor models: American depositary receipts fADRs), 355-356, 376 background, 341-342 covariance matrices, 361-364 currencies, 376-377 estimating factor returns, 356-359 factor-mimicking portfolios, 340, 359-361 factor returns and exposures, 338-340 futures, 355, 376 GDRs, 355-356, 376 global, 365-373 histories, 356 linear cross-sectional factor model, 348-355 observed factor returns, 342-344 overview, 334-335 portfolio definitions, 374-376 portfolio risk statistics, 377 risk estimation, 392-395 risk measurement, 378-392 risk sources, 373-378 simple, example of, 335-337 unobserved factor returns, 345-348 Equity risk premium (ERP): defined, 45 equilibrium estimates of, 48-53 frictions, 52 habit persistence, 52 historical perspective, 45^8 implications of, 550 investment policy and, 53-54 strategic asset allocation, 109 utility function, 50-52 Estate planning, 538-541, 544-545, 572-576, 590, 592 Estate tax(es), 537-538, 544-545, 568, 574-578 Estimation universe, 356-357, 393 Euro, 62,142,147,151, 349 European Public Real Estate Association (EPRA), 101-102 Event driven sector, hedge funds, 490, 494-495 Ex ante/ex post equity returns, 52 Exceptional active return, 304, 306 Excess returns, see Expected returns covariance matrix estimation, 227 implications of, 107 private equity, 523 risk budgeting, 447-448