software: portfolio optimization, 161, 297 return attribution, 313 Concentrated active management, 26 Confidence levels, 185-190 Conservative investors, 561 Consumer price index (CPI), 553 Consumption habits, 52 Contingency planning, 254 Contribution to duration (CTD), 437, 442,444 Controllers, functions of, 290 Convertible arbitrage, 490, 494-495, 498 Convexity, volatility risk, 439, 445 Core portfolio, 582-586 Corporate bonds, 53, 437, 445, 565 Corporate credit, 99 Correlated assets, 153 Correlation(s): covariance matrix estimation, 230-232 in modern portfolio theory (MPT), 12-13,20-22 Cost basis, 586 Country allocation strategy, 323-324, 445-446 Country asset exposures, 351-353 Country contributions, return attribution: international portfolios, 323-325 single region, 306 Country currency weight, 323-324 Country effect: global equity risk factor models, 365-367 global factor model, return attribution, 320-322 Country indexes, 92 Country of domicile, 351, 355 Country of issuance, 351-352 Country sector weight, 324-325 Country selection, global tactical asset allocation (GTAA), 458, 459, 474 Country stock selection, 324 Covariance, 12, 32, 37-38, 40^3, 58, 62-64, 70 Covariance matrices/matrix: characteristics of, generally, 78 decomposition, 242-243, 246-247 equity risk factor models, 337-338, 342, 357-358, 361-364, 387, 395 estimation, see Covariance matrix estimation factor model framework, 378 global equity factor model, 372 Covariance matrix estimation: alternative methods, 245-248 applications, generally, 224-227, 237-239 computations, 225 correlations and, 241-243, 248 decay rate, 236, 239-241, 243 financial data, 227-231 generalizations, 239-243 histories of different length, 243-245 normal distributions, 240-241 risk model, 248 using daily data, 232-235, 238, 248 volatilities, 225, 232, 241-243, 248 weighting observations, 235-237, 242-243 Credit ratings, 438, 441 Credit risk: implications of, 27, 251, 438, 445, 552 monitoring, 267-268 Credit-risk-free interest rates, 436 Credit spread, 30 Credit Suisse First Boston (CSFB)ATremont, 486, 495 Cross-portfolio pricing comparisons, 293 Cross product: defined, 60 matrix, equity risk factor model, 347-348 return attribution, 320-321 Cross-section modeling, equity risk factor models, 341, 345 Currencies, global equilibrium, 30, 56-75 Currency allocation strategy, 446