equity program, 203 Uncertainty, 30, 49, 53, 87, 111 Uncorrelated assets, 166 Uncorrected risk, 154, 157 Underreaction, short-term, 459-460 Undervalued stocks, 222 Uniform equity portfolio structure, 584-586 U.S. dollar, currency hedging, 142-151 U.S. equities, global equilibrium, 60-65 U.S. stocks: after-tax wealth applications, 558-564 annual returns, 547, 554-558 historic returns, 546-550 inflation, impact on, 547, 549-553, 564 risk-adjusted returns, 553-554 U.S. Treasury, 53, 437, 552 Univariate analysis, 421 Universal hedging, 56-57, 63, 72-73, 76 USD/GBP, 283, 300-301, 349 Utility function: equity risk premium, 49-51 risk management and, 32, 37-38 Valuation: authorization, 288-289 committee, 286, 290-291, 294 fair, 295-296 independent, see Independent valuation management reporting, 290-291 oversight philosophy, 285-291 portfolio risk and, 17-18 price comparisons, 291-292 prices, transaction prices vs., 291 ratified procedures, 288-289 risk measurement and, 32 statutory, 286-288 uncorrelated assets, 155-156 verification tools, 291 Value at Risk (VaR), 28-29, 225-226, 249-250, 253-254, 256, 268, 277-278, 335 Value factor, equity risk factor models, 361 Value investors, 425 Value stocks, 155 Van Hedge, 486 Variance analysis, 309-310, 328 Variance-covariance matrix, 224, 423 Variance monitoring, 252, 257-258 Vega risk, 439 Venture Economics, 524 View portfolio, 77, 85-87 Volatility: annualized, 29 asset allocation drift and, 413 bond market, 118 covariance matrices, 364 covariance matrix estimation, 225, 227-230, 232, 241-243 equity risk factor models, 341 fixed income securities, 435-436 foreign bond portfolios, 140-142 global equilibrium and, 61, 75 hedge funds, 140-145, 488-489, 491-493,495-497,513 historical, 31 implications of, 8, 13-17, 19 noise, 111-112, 114-115, 118, 120 price comparisons, 292 private equity investments, 528-530 risk budget development, 183 risk monitoring, 218 strategic asset allocation, 105-107 transaction costs and, 425 uncorrelated assets, 163 Volatility exposure, 353, 439 Volatility risk, 438-439, 442 Volker, Paul, 552 Volume-weighted average price (VWAP), 432 Wash sale rule, 587 Wealth creation, 11