Miller, M.B. (2012) Mathematics and Statistics for Financial Risk Management. Wiley.

has been cited by the following article:

• TITLE: Application of Volatility in Portfolio Construction

  AUTHORS: Michael Ha, George Z. Liu, Lihui Zheng

  KEYWORDS: Volatility, VIX, Tracking Error, Active Risk, Risk Decomposition, Risk Characteristics

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.3 No.7, June 30, 2015

  ABSTRACT: We studied the CBOE Market Volatility Index from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC Asia ex Japan of the same period. Tracking Error calculations and Market Volatility Analyses were performed. We selected a portfolio, Dragon, for Risk Analysis, Risk Decomposition and Risk Characteristics identification purposes. A conclusion relating Dragon’s Tracking Error and its Portfolio Size was drawn.