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date: 22 February 2020

(p. 493) Index

(p. 493) Index

accounting, balance sheet 423—4, 433—5
Adler, T. 15
Admati, A.R. 160
Agency Cost Estimator 405
Ait-Sahalia, Y. 254
Aizenman, J. 485—6
Almgren, R. 54, 375, 383
Alpha Alignment Factor (AAF) 62
AMEX exchange 210, 232, 246
Amin, K.I. 261
Aquila Capital 144, 147, 150, 152
Arnott, R. 413, 414
asset allocation 266—90, 462—7, 470, 472—84, 488—90
asset liability management (ALM) 481—3, 488
classical 449, 450, 451, 467
dynamic 483—4
fair value in 458—67
pricing embedded options in 454—7
for sovereign wealth funds 470—92
value-based 449—69
asset pricing theory 294
assets under management (AUM) 398, 399, 400, 401, 402, 416
Back, K. 243
Bahrain 478
Bali, T. 248
bankruptcy 339, 342, 346, 348, 364, 365, 422, 436, 441, 446
Bar-Yosef, S. 250
Barberis, N. 95
Barclays 144, 145, 150
Barnes, M.L. 232
Bartter, B. 318
Basak, S. 178
Bayes’ theorem 87, 90
Bayesian methods 266, 267, 269, 270, 285, 286—8
and investment 87—115
and investment decisions 89—91
and the multivariate normal
distribution 112—13 see also investors, ‘Bayes’
Bayesian statistical analysis 98—100
Behrens—Fisher problem 98
Bellman, R. 67
benchmarks 157—8, 159, 160, 167, 179, 180, 182, 189, 193, 195, 196, 377—8, 380—1, 480, 482, 483
cash 158, 160, 163—4, 168, 169, 174, 175
optimal 164—5, 168, 170—2, 174, 175
VWAP 377—8, 380, 381
Bender, J. 22
Benefit Obligation:
Accrued (ABO) 429, 434
Projected (PBO) 429, 430, 434
beta coefficient 256—8, 296
betas:
least square (LS) 203—4
robust 203—42
Binsbergen, Jules H. van 159
Birnbaum, A. 99, 100
Black, F. 18, 243, 319; see also Black—Litterman
(BL) model
Black—Litterman (BL) model 8, 16, 18—19, 53, 112
Black and Tepper Tax Arbitrage 424, 436—7
Bliss, R.R. 254
Blue White Alternative Investments 144
bonds 69, 70, 71, 95, 141, 159, 307, 308, 311, 313—14, 316, 317, 325—6, 329—35, 426, 435, 437
Aaa-rated 159, 166, 169, 173, 311, 331, 430, 431
Baa-rated 159, 166, 169, 174, 311, 331, 334
Build America Bonds (BABs) 311
corporate 303—5, 330, 332, 427, 429
government 159, 169, 436
Borkovec, M. 403
Bouchard, J.-P. 299
Bowie D.C. 232
Bradfield, D.J. 232
Brandt, M. W. 159, 254—5
Breedon, F. 481, 482—3
Brown, K. 177
Brownian motion 161, 162, 318, 352, 356
arithmetic 344, 355
geometric (GBM) 338, 339, 340, 347, 361, 362, 365
Bull, P. 309, 401, 402
Caballero, R.J. 488
Campbell, J.Y. 387
capacity analysis 398—418
capital asset pricing model (CAPM) 203
capital market pricing 424, 440, 446
Carpenter, J. 177, 180
Center for Research in Securities Prices (CRSP):
databases 167, 210, 211, 232
central banks 443, 485, 486, 487, 488
Ceria, S. 301, 384
Chan, L.K. 232
Chang, B.-Y. 256, 257
Chevalier, J. 177
Chhaochharia, V. 489
Chief Investment Officer (CIO) 157—76, 398
China 443, 476—7, 478, 482, 485, 487
Chriss, N. 375
Christoffersen, P. 256, 257
Clarke, R. 19—20
Cloete, G.S. 232
Collateralized Mortgage Obligations (CMOs) 311
commodity trading advisors (CTAs) 191
Connolly, R.A. 232
Consumer Price Index 307
Copeland, M.M. 259
Copeland, T.E. 259
Coppejans, M. 402, 409
Cornell, B. 232
corporate finance 422
theory 424, 436—7
Coutts, J.A. 232
Cox, J. 318
Credit Suisse 144, 145, 150
Cremers, M. 247—8, 249
critical line algorithm (CLA) 36, 41—5, 48
crossing networks 371, 372, 393—4
dark pools 371
Das, S. 178
De Miguel, V. 51, 254
default 311, 312, 329—31, 334, 335—6, 440, 443, 453
deflation 443, 444, 445
derivatives 141, 142, 243, 261, 308—10, 476
exchange-traded 308, 310
over-the-counter (OTC) 308, 310
Derman, Emanuel 88, 319
Deutsche Bank 147
Deutsche Börse 392
Diavatopoulos, D. 249, 250
Dietrich, J.K. 232
Direct Edge 391
Dirichlet distribution 108—9
distribution, predictive 88, 90—1, 95, 285, 286, 287
Domowitz, I. 403
Doran, J.S. 248—9, 250
dot-com bubble collapse (2000) 204, 212, 217, 224, 239
Dow Jones Industrial Average 232
du Pont de Nemours and Co. (DD) 208, 209, 210, 223
Durate, J. 140
dynamic programming 26—7, 29, 67—8, 69, 73, 74, 79, 185, 385
East Asia 472, 484
Eckhardt, R. 101
Egypt 329
Electronic Data Systems Corp. (EDS) 208
Ellison, G. 177
Ellsberg’s paradox 98
Elton, E.J. 160
Engle, R.F. 385, 386, 387, 392, 403
enhanced active equity (EAE) portfolio 32—49
optimization problem 33—7, 48
optimizing 38—45
enterprise management 422—3, 425—8
equities 60, 95, 141, 157, 165, 434, 436, 440, 441
equity portfolios:
capacity analysis 398—418
optimization 50—64
error choice, dynamic tracking 177—99
estimation errors 15—19, 53, 57—8, 384, 385
Europe 443
European Central Bank 456
Eurozone 482
execution, optimal 371—97
Fabozzi, F.J. 15
factor models, equity 293—306
Fannie Mae 476
fees:
asymmetric incentive 188, 191—4
performance-based (PBFs) 177—99
proportional asset-based 188, 189—91, 192
symmetric incentive 188, 194—8
Ferguson, R. 177
Ferstenberg, R. 385, 386, 387, 392, 403
Fidelity (investment company) 177
Financial Accounting Standards Board (FASB) 434
financial crisis (2008—9) 60, 111, 139, 144, 204, 212, 221, 225, 226, 227, 229, 231, 238, 239, 429, 449
Fodor, A. 250
Food Policy Research Institute 478
forward rate, instantaneous 317—19
Fouque, J.-P. 257—8
Frank Russell (firm) 182
Freddie Mac 476
Free Cash Flow (FCF) 423, 432
Fulcrum Asset Management 144, 147, 150
fund-of-funds (FoF) 377
construction 116—35
manager 116—19, 122, 124, 125, 132
Fundamental Law of Active Management 402
Fung, W. 144
GM (company) 423
Garlappi, L. 51
Garleanu, N.B. 387
Genton, M.G. 232
Gibbs sampler 101—7, 108, 109, 110, 111
Gintschel, A. 477
Giot, P. 259
Glick, R. 485—6
Goetzman, W. 177
governments 329, 443, 446, 447, 471, 475
Great Depression 330
Greene, J. 390
Grinblatt, M. 177, 180, 193
Grinold, R.C. 27, 117, 183, 387
Grinold—Kahn model 183
Gruber, M.J. 160
HFRI Fund Weighted Composite 145, 147
Hagan, P. 316
Harlow, W. 177
Hartwick’s rule 474
Harvey, C.R. 15, 269, 286
heating economy 444, 445
Hedge Fund Research 144
hedge funds 18, 60, 116—35, 338, 364, 377, 389, 421, 434, 441
clones 136—53
dynamic trading 141—2
factor replication 137—40, 142
management 177—99
replication methods 137—42
replication products 142—52
rule-based replication 140—1, 142, 150
Heinkel, R. 182
Hendershott, T.J. 392
Ho, L.-C.J. 251
Ho, T. 319
Hodder, J. 178
Hoevenaars, R.P.M.M. 458
Honeywell 435
Hovakimian, A. 248
Hsieh, D.A. 144
Hughes, A.W. 232
Hull, J. 319
Husmann, S. 257
Ice Capital 147
Importance Sampling Algorithm 267, 272, 273
incentives 177—99
income:
corporate 423—4, 433—5
fixed 307—37, 444
India 478
inflation 307, 443, 444, 446, 450, 456, 463, 468
information 243—65, 307
Ingersoll, J. 177, 318
Innocap 144, 145
innovation-driven economy 444, 445
interest rates 296, 307, 308, 310, 312—14, 326, 327, 445, 450, 464
distributions 320—5
International Accounting Standards Board (IASB) 434
International Monetary Fund (IMF) 308, 310, 311
interpolation, curve 316—17
investment banks 389
Investment Company Act (1940) (US) 180
Amendment Act (1970) (US) 180
investment decisions:
and Bayesian methods 89—91
decentralized 157—76
and performance-based fees (PBFs) 177
investment horizon 8, 71, 93, 95, 182, 196, 477
investment management 23, 77, 157—76, 177—99
investors 7, 9, 10, 11, 16, 18, 19, 22, 33—4, 67, 70—1, 77, 87, 99, 136, 141, 178, 179, 183, 189, 194, 196, 231, 243, 260, 261, 267, 269, 270, 333, 436, 489
activist 477—8
behaviour 9, 13
preferences 9, 34, 90, 480, 481
rational 13, 15
resampling 270—1, 273, 277, 278—80
Ippolito, R. 178
JP Morgan 144, 147
Jacobs, K. 256, 257
Jabbour, C. 255
Jackwerth, J.C. 178
Janus Capital Group Inc 177
Japan 443
Japanese Government Bonds (JGBs) 326—7
Jarque-Bera (JB) statistics 205, 237—41
Jeffrey, R. 413, 414
Jondeau, E. 15
Jones, C.M. 392
Jones, R. 18
Kahn, R.N. 117, 183
Kalman filter model 139
Karasinski, P. 319
Kat, H.M. 141, 144
Kenya 478
Khorana, A. 178
Kiernan, B. 403
Kirk, E. 347
Kirk approximation 347, 364, 365—7
Knight, Frank 307, 313, 425
Kocken, T.P. 453, 458
Koijen, R.S.J. 159, 167
Kollman, E. 257—8
Kolm, P.N. 384, 387, 389, 392
Konno, H. 12
Kosowski, R. 481, 482—3
Krainer, J. 333
Krieger, K. 248—9
Kritzman, M. 15, 51, 57, 338, 349
Krugman, P. 88
Kuwait 478
Investment Authority 480
Laeven, L.A. 489
Lakonishok, J. 232
latency 390—1, 392
least absolute deviation (LAD) estimate 232
Ledoit, O. 126—7, 133—4
Lee, C.M.C. 261
Lee, H. 356—8
Lee, J.-H. 301
Lee, S.B. 319
Lehman collapse (2008) 111
Leistikow, D. 177
leverage, constant 359—64
liability-driven investment (LDI) 158, 425
Libya 478
likelihood principle 87, 98—100
Lim, T. 18
liquidity 136, 137, 152, 211, 212, 245, 326, 372, 373, 377, 391—2, 400, 423, 432, 443, 445, 446, 477
Litterman, R. 18, 317, 321; see also Black—Litterman (BL) model
London InterBank Offered Rate (LIBOR) 310, 318
Longstaff, F.A. 140
Los Alamos National Laboratories (US) 101
Macaulay, Frederick 325
Maclin, L. 387, 389
Madhavan, A. 402, 409
Manaster, S. 243, 245
market(s) 18, 103, 145, 204, 210—15, 221, 223, 226, 229, 230, 297, 298, 308, 421, 446, 470
capitalization 235—7, 295—6, 298, 435, 480, 481
equity 60, 87, 308, 336, 450, 464
failure 478
financial 88, 107, 161, 294, 308, 476
1987 crash 211, 223, 227, 229, 230, 231, 238, 239
option 244, 250, 259
option prices 243—65
stock 243—65 see also market impact
market impact 372—4, 377, 383, 385, 387
costs 383—5, 389, 402
Markowitz, H. 1, 7, 10, 11, 13, 18, 51, 52, 53, 67, 74, 88, 97, 266, 267, 268, 269, 270, 272, 281, 285, 286, 399, 402, 405
Markowitz preferences 93, 96
Markowitz—van Dijk algorithm 75, 77, 78, 79, 80
Martellini, L. 18
Martin, R.D. 218—19, 232
Maximum Likelihood Estimates (MLEs) 268, 269
mean-CVaR optimization models 13
mean-VaR optimization problem 12
mean-variance optimization (MVO) 7, 8, 10—11, 15—16, 18, 23, 48, 51, 52—4, 57, 60, 62, 384
problem 7, 8, 10, 11, 20, 24, 25, 33, 158, 386
utility maximization vs. 13—15
Memmel, C. 126
mercantilism 486
mergers, corporate 140
Merrill Lynch and Co. (ME) 208
Merton, R.C. 88, 304, 332—3, 386, 387
Meucci, A. 19
Mexico 476
Michaud, R. 57, 266, 269, 270, 273, 277, 285
Mills, T.C. 232
Mitchell, M.L. 140
modern portfolio theory (MPT) 52, 54
Monte Carlo methods 77, 78, 101—3, 285, 286, 318, 341, 347, 349—53, 358—9, 364, 365
Markov Chain (MCMC) 87, 88, 101—3, 108, 109—10, 111, 267, 271, 272, 273, 281, 287
Moody’s 329, 331
Morgenstern, O. 96
multivariate lognormal model, standard 339—42
Musiela, M. 361
mutual funds 138, 165, 167, 177, 178, 179, 180, 182, 183
Naik, N.Y. 144
NASDAQ exchange 210, 211, 212, 232, 246
natural resources 474, 476—8, 479
Nelson, C. 316
net foreign assets (NFA) 478—80
Netherlands 458
Neumann—Vorgenstern axioms 9
9/11 terrorist attacks 111, 212
Norway 481—2
Norwegian Petroleum Fund 480, 481, 483, 490
NYSE 210, 232, 246
NYSE/AMEX/NASDAQ composite 210
OLS estimates 204, 205, 207, 208, 209, 210, 214, 215—27, 229, 230—1, 232
O’Hara, M. 260
Ohrnstein, L. 318
oil crisis (1973) 212
Optimality Principle 26—7
optimization:
algorithms 7, 16, 18, 185—8
methodology, robust 8, 16—18
problems 7, 8—15, 16, 17, 19, 20, 24, 25, 26, 27, 32—49, 52, 57, 123, 158, 160, 181—5, 188, 206, 210, 234, 385, 386, 399, 402, 403, 405—7, 412, 481
option pricing theory 177
options, embedded 449—69
options, financial 243—65
order book 372—4, 390, 393
Page, S. 51
Pakistan 478
Palaro, H.P. 141
Pan, J. 260
Panageas, S. 488
Panigirtzoglou, N. 254
Papageorgiou, N. 142
Pattel, J.M. 251
Pavlova, A. 178
Pedersen, L.H. 387
Peña, J.F. 255
Pension Benefit Guarantee Corporation (PBGC) 424, 427, 432, 433, 437—8
pension:
management 422—3, 425—8
Pension Protection Act (2006) (PPA) 423, 429, 432
Perold, A. 398
Peterson, D.R. 249, 250
Pfleiderer, P. 160
Philippines 478
Plyakha, Y. 254
Poland 298
Ponds, E.H.M. 458
portfolio(s):
construction 19, 29, 50—1, 54—7, 58, 61, 122—7, 244, 251—5, 259, 261, 371, 399, 401, 403, 417
duration 325—8
dynamic 371—97
equally weighted 51
Fama—French 61, 104, 106, 107, 110
long-only 47, 338, 339, 405
long-short 32, 34, 36—7, 39, 47, 338—68, 405
management 19, 26, 28, 50, 51, 52, 54, 57—9, 60, 61—2, 80, 141, 144, 230, 244, 250, 359, 371, 385, 395, 398, 400
portfolio optimization 7—31, 32—49, 50—64, 372, 399, 403
constraints in 19—26
and the cost of trading 403—5
dynamic 26—9
and factor alignment problems (FAPs) 61—2
perils 59—62
problem 8—15, 19, 20, 26, 27, 32—49, 57, 181—5
and trade crowding 59—61
with market impact costs 383—5
portfolio selection 13, 15, 16
problem 7, 8, 9, 10, 12, 16
Poteshman, A. 260
preferences 95, 162, 168, 172
unknown 172—3
probability, subjective 87, 95—8, 99
profits 376, 421, 440
Pulvino, T.C. 140
quadratic programming 7, 32, 33, 36, 38—9, 53
quant scare (2007) 60—1, 111
quantitative easing 323
Ramsey, F.P. 96
random matrix theory 299
ratings agencies 329—30
rebalancing, optimal 67—86
recession 443, 444, 445
reflexivity 88
regime-switching model 107—11
Rehman, Z. 246—7
Rendleman, R.J. 243, 245, 318
Renshaw, A. A. 301
Resampled Efficient Frontiers 266, 267
Resampled Optimization Approach 281—2, 285
returns 7—28, 33, 34, 37, 39—41, 46, 51, 52, 53, 57, 58, 60, 136, 138, 142, 152, 204, 227, 231, 248, 249, 250, 266, 294, 295, 296, 297, 298, 299, 302, 305, 308, 338, 339, 383, 384, 385, 398, 400, 405, 408, 411, 438, 445, 446, 450, 456, 462, 475, 478, 481, 486
Rich, D. 338, 349
Richtmyer, R. 101
Riordan, R. 392
risk 7, 8, 12, 19—20, 27, 51, 52, 53, 57, 60, 61—2, 136, 137, 139, 140, 158, 163, 169, 170, 178, 188—98, 204, 261, 294, 300, 301—3, 371, 374, 375, 377—8, 380, 381, 383, 407, 443, 449, 450, 451, 467, 468, 475, 477, 486
aversion 10, 69, 93, 95, 159, 166—8, 172, 184, 190, 267, 278, 285, 320, 375, 384, 452
basis 421, 427, 446
corporate 424, 435—6, 447
credit 329—35
equity portfolio 295—9
estimation 18, 88, 90, 91—5, 256—8
execution 385—6
fixed income investment 307—37
forecasts 16, 18
interest rate 312—14, 329, 457
Knightian 307, 308, 329, 425
management 62, 141, 150, 244, 259, 338—68, 421—48
portfolio 385—6
preferences 160, 165, 167, 477, 480
selection 149—52
systemic 227—9
tolerance 33—4, 38, 39, 45, 47
transfers 458—62, 465—6, 467
Robin, P. 390
Rockinger, M. 15
Ronchetti, E. 232
Ross, S. 177, 318
Rothman, M.S. 60
Rousseeuw, P.J. 232, 233
Russia 476—7
Russell indices 55, 167, 296, 403, 406
Rutkowski, M. 361
S&P indices 103, 147, 162, 167, 232, 253, 254, 258, 259, 334, 400, 401, 436, 488
Salomon, R. 398
Sarig, O.H. 250
Saudi Arabia 478
Savage, L.J. 96—8, 99
Saxena, A. 61, 62
Scheinkman, J. 317, 321
Scherer, B. 22—3, 477
Schmieta, S. 301
Scholes, M. 88
securities 10, 11, 18, 19, 23, 32, 33, 34, 37, 39—40, 48, 55, 211, 293, 294, 295, 302, 303, 305, 311, 338, 339, 476
Agent Residential Mortgage-Backed Securities (RMBS) 311
Commercial Mortgage-Backed Securities (CMBS) 311
Securities Industry and Financial Markets Association (SIFMA) 310, 311
Serbin, V. 399, 401, 402, 403
shadow cost decomposition 8, 20—6
Shapiro, A. 178
shareholders 304, 421, 422, 424, 425, 432, 434, 436, 437, 438, 440, 446
shares 372, 373, 374, 377, 386, 391, 393, 422
Sharpe, W.F. 160, 232, 254, 456
Sharpe ratio 51, 119, 126—7, 130, 131, 132, 133, 145, 160, 167, 182, 403, 482
Siegel, A. 316
Simins, T.T. 218—19, 232
single-stage incentive fee model 179—81
Societe Generale 144, 145
Soros, G. 88
South Korea 478
sovereign wealth funds (SWFs) 470—92
commodity funds (CF) 471, 472—7, 478—80, 481, 484, 488, 490
excess reserve funds (ERF) 471, 484—8
Srinivas, P.S. 260
stagflation 444, 445
stakeholders 450, 451, 454, 459, 465, 467, 468
Standard and Poor’s 329
Starks, L. 177
State Street Global Advisors 144
Stefek, D. 301
Stephan, A. 257
stochastic programming 27—8
stocks 57, 67, 69, 70, 71, 77, 95, 157, 159, 174, 212, 224, 237—41, 243, 245, 248, 295, 297, 298, 299, 303, 372, 380, 398, 400, 405, 437, 441, 446, 456, 462, 474, 480, 489
selection 244—51, 259, 261
Stoughton, N. 182
Stremme, A. 178
Stubbs, R. 61, 62, 301
Sudan 478
Sundaram, R. 178
Sweden 482
TABB Group 389
Takriti, S. 384
Tanzania 478
taxes 26, 329, 333, 399, 412—15, 416, 422, 423, 424, 433, 436, 441, 442, 446, 447
Thum, C. 383
Titman, S. 177, 180, 193
Toy, W. 319
trading 19, 399, 400, 401, 406
algorithmic 371—97
and anti-gaming 393—4
costs 8, 20, 21, 23, 25, 26, 69, 77, 243, 245, 383, 384, 399, 403—5, 407—12
firms 389—91
high-frequency 389—91, 392
insider 243
millisecond game 389—91
strategies 136, 137, 141, 246, 248, 259, 260, 261, 371, 376—82, 385, 392, 399, 401, 407, 412—16, 417
transaction costs 21, 22, 25, 27, 54, 55, 74, 140, 384, 385, 389, 398—418
analysis (TCA) 401
transfer coefficient 8, 19—20
Tukey, J.W. 205
Turkington, D. 51
turnover 398—418
United Arab Emirates (UAE) 478
Uhlenbeck, G. 318
Ukraine 478
Ulam, S. 101
uncertainty 9, 16—17, 18, 27, 88, 92, 186, 443, 444, 446, 449, 475
Knightian 97—8, 99, 307—8, 329, 425
parameter 266—90, 483—4
sets 16—17
unemployment 443
United Kingdom 434, 458, 482
United States 310—12, 314—15, 320—1, 326—7, 329—36, 389, 400, 405, 407, 430, 434, 436, 437, 440, 441, 443, 471, 482
Treasury 210, 268, 310, 311, 314, 315, 320, 321, 322, 326, 327, 331, 332, 333, 334, 335, 430, 433, 437, 440, 471
Uppal, R. 51, 254
Usmen, N. 266, 267, 268, 269, 270, 272, 285, 286
utility functions 8, 9—10, 11, 13—14, 15, 22, 52, 69, 77, 269, 377
utility maximization 8, 9, 11, 73, 88, 91, 96, 179, 182, 185, 280—1, 483
vs. MVO 13—15
utility theory 87, 88, 95—8
von Neumann—Morgenstern (VNM) 95—7
Vainberg, G. 256, 257
Valhi, Inc (VHI) 208, 209
van Dijk, Erik 74—5
value-at-risk (VaR) 12—13, 256, 258, 349
conditional (CVaR) 12—13, 258
Vanguard (investment company) 177
Vasicek, O.A. 232, 318, 319, 336
vector autoregressive (VAR) model 454—7
Vera, J.C. 255
Viceira, L.M. 387
Vilkov, G. 246—7, 254
volatilities, implied 248—51, 257—8, 259, 301, 334
at-the-money (ATM) 245, 246, 249
out-of-the-money (OTM) 245, 246, 249, 261
von Neumann, J. 96, 101
Wall Street 87, 88
Weinbaum, D. 247—8, 249
West, G. 316
White, A. 319
Wilshire Associates 182
Wolf, M. 126—7, 133—4
Wolfson, M.A. 251
World Bank 476
Xing, Y. 245—6
Xu, X. 22—3
yield curves 314—16, 318, 321—5
Yohai, V.J. 232, 233
Yu, F. 140
Zangari, P.J. 18
Zhang, X. 245—6
Zhao, R. 245—6
Zhu, H. 399, 401, 402
Ziemann, V. 18
Zuluaga, L.F. 255