Grant I. Butterbaugh Professor of Finance and Management
Professor of Information Systems and Operations Management
Professor of Finance
Adjunct Professor of Statistics
PhD, Stanford University, 1977
MS, Stanford University, 1975
BA, Boston University, 1973
Phone: |
206-543-4476 |
Mailing Address: |
Fax: |
206-543-3968 |
Michael G. Foster School of Business |
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249 Mackenzie Hall
asiegel@u.washington.edu
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Info Systems and Ops Management Department
Box 353200
Seattle, WA 98195-3200 |
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Specialties
Statistics, finance, computing, probability, data analysis and biotechnology.
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:
- 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
- "Testing portfolio efficiency with conditioning information," with W.E. Ferson, The Review of Financial Studies, 2009, forthcoming.
- "Performance of Portfolios Optimized with Estimation Error," with A. Woodgate, Management Science, 2007.
- "A Data Integration Methodology for Systems Biology," with D. Hwang, A. G. Rust, S. Ramsey, J. J. Smith, D. M. Leslie, A. D. Weston, P. de Atauri, J. D. Aitchison, L. Hood, and H. Bolouri, Proceedings of the National Academy of Sciences of the United States of America, Vol. 102, 2005, pp. 17296–17301.
- "Stochastic Discount Factor Bounds with Conditioning Information," with W.E. Ferson, The Review of Financial Studies, Vol. 16, 2003, pp. 567-595.
- "A Three-Stage Clinical Trial Design for Rare Disorders," with V.E.A. Honkanen, J.P. Szalai, V. Berger, B.M. Feldman, and J.N. Siegel, Statistics in Medicine, Vol. 20, 2001, pp. 3009-3021.
- "The Efficient Use of Conditioning Information in Portfolios," with W.E. Ferson, The Journal of Finance, Vol. 56, 2001, pp. 967-982.
- "Diversification in the Presence of Taxes," with D.M. Stein, P. Narasimhan, and C.E. Appeadu, The Journal of Portfolio Management, Vol. 27, 2000, pp. 61-71.
- "Gaps in the Human Genome Project," with J.C. Roach, G. van den Engh, B. Trask, and L. Hood, Nature, Vol. 401, 1999, pp. 843-845.
- "International Currency Relationship Information Revealed by Cross-Option Prices," The Journal of Futures Markets, Vol. 17, 1997, pp. 369-384.
- "Relative Versus Incremental Information Content," with G.C. Biddle and G. Seow, Contemporary Accounting Research, Vol. 12, 1995, pp. 1-23.
- "Measuring Systematic Risk Using Implicit Beta," Management Science, Vol. 41, 1995, pp. 124-128.
For a complete listing of Professor Siegel's publications, please see
http://faculty.washington.edu/asiegel/publications.htm
Current Research
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
Honors and Awards
Burlington Northern Foundation Faculty Achievement Award (1992, 1986)
EMBA Excellence in Teaching Award (1988, 1986)
Selected Consulting Experience
- Design automation for microelectronics.
- Financial investment decision criteria.
- Election predictions for network television.
- Analysis of advertising effectiveness data.
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