Index

σ-field

absolute loss

absolute value

acceptance region

ACF, see autocorrelation, function

adjoint (of a matrix)

affine

combination

function

transformation

Albert Einstein

algebra of sets

alternative hypothesis

analysis of variance

one-way

two-way

ANOVA, see analysis of variance

anticipation function

antiderivative

AR, see autoregressive, process

arbitrage opportunity

arc

ARIMA, see autoregressive, integrated moving-average process

ARMA, see autoregressive, moving-average process

arrival rate

assembly to order

assembly-to-order

asset-liability management

association

linear

vs. causation

asymptotic distribution

ATO, see assembly to order

autocorrelation

function

autocorrelogram

autocovariance

autoregressive

integrated moving-average process

moving-average process

process

average

axiomatic approach (to probabilities)

backshift operator

backsubstitution

bar chart

baseline demand

basis (of a linear space)

batching (in Monte Carlo simulation)

battle of the sexes

Bayes

Bayes’ theorem

Bayesian

estimation

framework

learning

statistics

Bernoulli

distribution

Jacob

population

random variable

trial

best approximation

best response function

beta

distribution

function

of a financial asset

bias

Big Apple effect

big-M

bill of material

flat

bill of resources

binary decision variable

binomial

coefficient

distribution

expansion

expansion formula

pricing model

random variable

Black Monday

blending problem

BOM, see bill of material

bond

console

convexity

coupon-bearing

fixed-coupon

maturity

portfolio management

price

zero-coupon

bound (in branch and bound)

lower

upper

bound (on variable)

lower

upper

boundary

Box-Jenkins model

boxplot

branch and bound

brand choice

business process

càdlàg function

calculus

fundamental theorem

call option

capacity constraint

capital asset pricing model

CAPM, see capital asset pricing model

CARA, see constant absolute risk

aversion

cardinality-constrained portfolio

Cartesian

product

reference system

cash flow

discounting

categorical

data

CDF, see cumulative distribution function

centered data

central limit theorem

certainty equivalent

chain rule

chance-constrained programming

characteristic equation (of a matrix)

chi-square test

cluster analysis

clustering

agglomerative

divisive

hierarchical

nonhierarchical

coefficient of determination

adjusted

coefficient of variation

cofactor (of a matrix)

column-based model formulation

combination

combinatorial

explosion

problem

complementary slackness

complete market

component commonality

concave

function

problem

quadratic form

concavity

concordance

conditional

expectation

PMF

probability

value at risk (CVaR)

variance

confidence

interval

level

confirmatory analysis

conjugate family (of priors)

console bond

constant absolute risk aversion

constant relative risk aversion

constrained optimization

constraint

active

binding

equality

inactive

inequality

nonbinding

qualification

contingency table

contingent claim

continuity

continuous compounding

continuous relaxation

continuous review inventory control

continuous-time model

contour plot

convergence, see stochastic convergence

convex

combination

function

polyhedral

strict

hull

mathematical program

optimization problem

problem

quadratic form

set

convexity

of a bond

coordinate

coordination game

copula theory

correlation

canonical

matrix

testing significance

correspondence analysis

cost

fixed

marginal

opportunity

sunk

unit

countable set

countably infinite set

counting process

coupon

covariance

matrix

properties

unbiased estimator

cover inequality

Cramer’s rule

Cramér-Rao bound

cross-sectional data

CRRA, see constant relative risk

aversion

cumulative distribution function

joint

marginal

cut (in branch and bound)

CVaR, see conditional, value at risk

cycle component

cycling

DARA, see decreasing absolute risk

aversion

data splitting

decision

adapted to a filtration

nonanticipative

tree

under risk

variable

decision making

under risk

under uncertainty

decision variable

binary

integer

semicontinuous

decreasing absolute risk aversion

default

definite integral

degree

of a monomial

of a polynomial

degrees of freedom

Delphi method

demand

rate

uncertainty

variability

demand function

inverse

dendrogram

denumerable set

dependence analysis

derivative

financial

first-order

higher-order

of a function

of composite function

of inverse function

partial

second-order

descent direction

descriptive statistics, see statistics

descriptive

deseasonalization

destandardization

determinant

diagonal model

diet problem

differencing

second-order

dimension (of a linear space)

discount

all-unit

incremental

rate, see rate, discount

discrete-event dynamics

discrete optimization

discretization

discriminant

analysis

linear

function

diseconomy of scale

dispersion

measure

distribution

F

asymptotic

Bernoulli

beta

bimodal

binomial

CDF of normal

chi-square

discrete

empirical

Erlang

exponential

function

Gaussian

geometric

left-skewed

lognormal

multivariate normal

negatively skewed

nonparametric

normal

parametric

Poisson

positively skewed

right-skewed

standard normal

Student’s t

Student’s t distribution

symmetric

theoretical

triangular

uniform continuous

uniform discrete

domain (of a function)

dot product

downchild

drift

dual variable

duration

Macaulay

modified

dynamic decision model

economic order quantity

model

multi-item model

economy of scale

edge

effect

column

row

significant

efficient

frontier

portfolio frontier

solution

eigenvalue

and quadratic forms

eigenvector

orthogonal

unit

elastic model formulation

elimination of variables

EMV, see expected monetary value

end-of-horizon effect

EOQ model, see economic order quantity

epigraph

equation

nonlinear

polynomial

system of

system of linear

equilibrium in dominant strategies

error

assumptions about

homoskedastic

nonnormal

normally distributed

relative

type I

type II

error sum of squares of the partition

ESS, see explained sum of squares

see error sum of squares

of the partition

estimate

estimator

biased

consistent

efficient unbiased

least-squares

point

properties

unbiased

Euclidean

distance

norm

Euler’s number

event

algebra of

complement

definition

disjoint

family of

field of

in simulation

independent

independent (definition for a pair of events)

independent (definition for multiple events)

EVPI, see expected value, of perfect information

expectation (linearity of)

expected monetary value

expected profit

expected return

expected value

of a function of a random variable

of a function of random variables

of a sum of random variables

of perfect information

sum of random variables

unconditional

vs. mean

explained sum of squares

explanatory variable

exploratory analysis

exponent

exponential

derivative

distribution

function, see function, exponential

growth

random variable

variable

exponential smoothing

simple

with multiplicative seasonality

with trend

with trend and multiplicative

seasonality

extensive form

extrapolation

extreme point

F distribution

F test

FA, see factor analysis

face value

factor analysis

factor loading

factor model

factorial

factorization

fat solution

fat tail

feasible

region

set

solution

field

generated by a partition

filtration

decision adapted to

finance

financial portfolio management

first-order optimality condition

fit sample

fixed charge

fixed-charge problem

fixed cost, see cost, fixed

forecast

accuracy

bias

horizon

forecasting error

forecasting model

qualitative

quantitative

forgetting factor

forward contract

frequency

cumulative

relative

Fubini’s theorem

function

composite

concave

continuous

continuous from the left

continuous from the right

continuously differentiable

curvature

derivative of composite

derivative of inverse

differentiable

discontinuous

discontinuous from the left

exponential

Gaussian

inverse

inverse generalized

monomial

monotonically increasing

negative exponential

nondecreasing

nondifferentiable

noninvertible

piecewise constant

piecewise linear

polynomial

rational

strictly concave

utility

fundamental analysis

game theory

Gaussian

distribution

elimination

process

white noise

Gaussian distribution, see normal

distribution

geometric series, see series, geometric

global optimum

goal programming

gradient

half-plane

half-space

here-and-now decision

Hessian, see matrix, Hessian

matrix

heteroskedastic

heteroskedasticity

robustness to

histogram

historical simulation

Holt’s forecasting model

Holt-Winter method

homoskedastic

homoskedasticity

hyperbola

hypothesis

alternative

null

test

multivariate

testing

i.i.d. variables

IARA, see increasing absolute risk

aversion

IIA, see independence of irrelevant

alternatives

ILP, see linear programming, pure-integer

image (of a function)

increasing absolute risk aversion

increment ratio

increments (independent and stationary)

independence

independence of irrelevant alternatives

independent event, see event, independent

inequality

inferential statistics, see statistics

inferential

information set

initialization (in exponential smoothing)

inner product

defining properties

input analysis

integral

double

improper

in multiple dimensions

in two dimensions

linearity of

multidimensional

integrality

requirement

restriction

integration, numerical

interaction (in ANOVA)

interarrivai time

intercept

interdependence analysis

interior solution

internal rate of return

interquartile range

interval

bounded

closed

estimate

estimator

open

open-closed

unbounded

inventory

holding cost

management

inventory control

continuous review

periodic review

inverse function

generalized

inverse matrix, see matrix, inverse

inverse transform method

investment analysis

IRR, see internal rate of return

Jensen’s inequality

jointly normal distribution

jump, of a function

just-in-time philosophy

k-means

Karush-Kuhn-Tucker conditions

King Kong effect

KKT conditions, see Karush-Kuhn-Tucker conditions

knapsack problem

Kolmogorov

Kolmogorov-Smirnov test

kurtosis

excess

lack of fit

lack of memory

Lagrange multiplier

Lagrangian function

Laplace

latent variable

law of iterated expectations

law of large numbers

strong

weak

law of one price

LCG, see linear congruential generator

lead time

least squares

ordinary

weighted

least-squares

estimator

model

problem

level

level curve

leveraging

liability

uncertain

likelihood

function

log-

method of maximum

likelihood ratio test

limit

line

equation of

real

tangent

linear

affine transformation

dependence

independence

mapping

operator

space

subspace

linear affine function, see affine, function

linear algebra

linear combination

of random variables

linear congruential generator

linear equation

linear programming

binary

geometry

graphical solution

mixed-integer

model

problem

canonical form

continuous

standard form

pure-integer

linear regression

linear subspace

Littlewood’s capacity control model

local

maxima

minima

optima

location measure

logarithm

derivative

natural

logistics

logit function

logit model

lognormal random variable

Long-Term Capital Management

longitudinal data

lot-sizing problem

LP, see linear programming

LP relaxation, see continuous relaxation

LRT, see likelihood ratio test

LTCM, see Long-Term Capital Management

lurking variable

MA, see moving-average process

MAD, see mean absolute deviation

MAE, see mean absolute error

Mahalanobis

distance

transformation

MAPE, see mean absolute percentage error

MAPE%

marginal

analysis

CDF

density

distribution

profit

markdown price

market portfolio

marketing

Markov

chain

process

mathematical programming

matrix

addition

algebra

centering

conformable

covariance

diagonal

diagonalization

Hessian

identity

inverse

invertible

laws of algebra

lower triangular

multiplication

multiplication by a scalar

negative definite

negative semidefinite

orthogonal

positive definite

positive semidefinite

power of

rank

singular

square

square root

symmetric

transposed

upper triangular

maturity

of a bond

of an option

maximization problem

maximizer

global

maximum

local

maximum-likelihood

properties of estimator

estimation

estimator

ME, see mean error

ME%

mean

population

sample

vs. expected value

mean absolute deviation

mean absolute error

mean absolute percentage error

mean error

mean percentage error

mean reverting process

mean square

due to errors

explained

measurement model

median

memory, lack of

memoryless

distribution

property

method of maximum likelihood

method of moments

MILP, see linear programming, mixed-integer

min-max problem

minimization problem

minimizer

global

local

strict global

minimum

global

local

minimum-cost flow problem

minor (of a matrix)

missing data

MLE, see maximum-likelihood estimator

mode

model

calibration

descriptive

fit

identification

prescriptive

validation

verification

modulus (in LCG)

moment (of a random variable)

central

first-order

fourth-order

higher-order

sample

monomial

Monte

Carlo simulation

Monte Carlo

sampling

simulation

moving average

moving-average process

MPE, see mean percentage error

multicollinearity

multidimensional scaling

multiobjective

optimization

problem

multiplier (in LCG)

multivariate statistics

Nash equilibrium

neighborhood

net present value

network

directed

optimization

undirected

newsvendor model

newsvendor problem

Niels Bohr

node (in a decision tree)

chance

decision

terminal

node (in a network)

destination

source

nonconvex

optimization

problem

set

nondominated solution

nonlinear least squares

nonlinear programming

continuous

convex

mixed-integer

nonconvex

nonparametric test

nonstationary process

norm

defining properties

Euclidean

normal

demand

jointly

jointly variables

jointly, random variables

multivariate

variable

normal distribution

CDF

three-sigma rule

normal form

normality

NPV, see net present value

null hypothesis

number

integer

real

numerical error

numerical instability

numerical integration

objective function

linear

nonlinear

observation

odds

OLS, see ordinary least squares

omitted variables

distortion by

operations management

optimal mix

in discrete manufacturing

in process industry

optimal solution

optimality condition (first-order)

optimization

model

optimization model

optimization problem

constrained

infeasible

unbounded

unconstrained

option

American-style

call

European-style

growth

payoff

real

order statistic

ordinary least squares

estimators

orthogonal

eigenvector

matrix, see matrix, orthogonal

projection

vector, see vector, orthogonal

orthogonal factor model

out-of-sample

performance evaluation

testing

outlier

output analysis

overbooking

overflow error

p-value

PACF, see partial autocorrelation

function

paired

t test

observations

panel data

parameter

estimation

parameter estimate

Pareto efficiency

partial autocorrelation function

sample

partial correlation

partial sum

partition

PASTA property

pattern

PCA, see principal component analysis, see principal component analysis

PDF, see probability density function

penalty

coefficient

term

percentile

rank

percentiles

perfect information

expected value of

periodic review inventory control

permutation

piecewise constant

function

plant location model

plant location problem

PMF, see probability mass function

point estimator

point forecast

Poisson

arrivals see time averages

distribution

process

compound

inhomogeneous

random variable

polyhedron

polynomial

degree

equation

function

model

regression

population

mean

variance

portfolio

allocation

cardinality-constrained

choice

efficient

management

optimization

risk

tracking

position

long

short

posterior distribution

power

predecessor node

prediction interval

prediction uncertainty

price

markdown

sales

spot

primal variable

principal component

principal component analysis

prior distribution

prisoner’s dilemma

probabilistic guarantee

probability

a priori

additivity property

as an area

classical approach

conditional, see conditional, probability

distribution

frequentist approach

mass

measure

of an interval

risk-neutral

space

subjective approach

theory

unconditional

probability density function

joint

probability mass function

joint

marginal

probit model

process industry

product mix

production mix optimization

programming

integer

linear, see linear programming

nonlinear

quadratic

stochastic multistage

projection

proxy

pseudorandom variable

Pythagorean theorem (for random variables)

quadratic form

convex

quadratic program

quadratic programming

quantile

of standard normal

quartile

queueing system

R² coefficient, see coefficient of determination

random sample

random shock

random variable

continuous

definition

measurable

realization of

sum of independent

random variables

independent

jointly continuous

uncorrelated

random walk

random-number generation

range (as a dispersion measure)

range (of a function)

rate

continuously compounded

discount

interest

of return

risk-free

reaction function

recourse actions

reduced cost

regime-switching model

regression

logistic

regression model

regressor

nonstochastic

stochastic

rejection region

reorder

level

point

replicating portfolio

residual

residuals

analysis of

response variable

return

investment

revenue

management

marginal

risk

aversion

coefficient of absolute aversion

coefficient of relative aversion

coherent measure

common factor

idiosyncratic

measure

pooling

premium

vs. uncertainty

risk-averse decision maker

risk-free return

risk-neutral decision maker

RMSE, see root-mean-square error

RMSE%

robustness

rolling horizon

root

cubic

of a polynomial

square

root-mean-square error

rotation matrix

roundoff

s.t., see subject to

SACF, see sample, autocorrelation

function

safety stock

sample

autocorrelation function

correlation

correlation coefficient

covariance

mean

moment

partial autocorrelation function

path

random

simple random

size

space

standard deviation

variance

sample statistics

distributional properties

sampling uncertainty

scalar

product

scalarization

scaling (graph a function)

scatterplot

scenario

tree

SE, see standard error of estimate

seasonal

cycle

factor

additive

multiplicative

seasonal pattern

seasonality

multiplicative

semicontinuous variable

sensitivity analysis

SER, see standard error of regression

series

derivative term-by-term

geometric

service level

set

complement

difference

disjoint

empty

intersection

union

shadow price

shift (in LCG)

shifting (graph of a function)

short

position

sale

selling

short sale

short-selling

shortfall

significance level

simplex method

simulation

clock

Monte Carlo, see Monte Carlo

simulation

skewness

Bowley

Pearson

slack variable

slope

Slutsky’s theorem

smoothing coefficient

solution

efficient

equivalent

nondominated

unbounded

SPACF, see sample, partial autocorrelation function

spanning set

square root

square-root rule

SSR, see sum of squared residuals

St. Petersburg paradox

standard deviation

computation

difference of two random variables

sample

standard error

standard error of estimate

standard error of regression

standard normal

standardization

standardized variable

stationarity

condition

point

point of

stationary demand

stationary point

statistic

robust

statistical significance

statistically significant

statistics

Bayesian

descriptive

inferential

nonparametric

orthodox

steady state

steepest-descent direction

stochastic convergence

almost-sure

in distribution

in probability

in quadratic mean

in rth mean

with probability

stochastic process

continuous-time

discrete-time

Gaussian

mean reverting

nonstationary process

weakly stationary

stochastic programming

with recourse

stock price

stock share

stockout

strategic behavior

strategy

strictly dominant strategy

strike price

subadditivity

subject to

subjective

knowledge

probability

substitution of variables

sufficient statistics

sum

double

notation

sum of squared errors

sum of squared residuals

sum of squares

between samples

column

within samples

summary measure

supply chain management

support (of a probability distribution)

surface plot

symmetry

t distribution

CDF

t test

paired

tangent plane

Taylor’s expansion

first-order

second-order

technical analysis

term structure of interest rates

test

one-tail

statistic

two-sided

two-tail

test sample

testing

difference in mean of two populations

proportions

TEV, see tracking error variance

theory of constraints

time bucket

time series decomposition

additive

multiplicative

time series model

time to delivery

time value of money

time window

total probability theorem

374

total sum of squares

trace (of a matrix)

tracking error variance

tracking portfolio

tradeoff

transaction cost

transportation cost

transportation problem

traveling salesperson

trend

additive

multiplicative

triangle inequality

truncation

TSS, see total sum of squares

unbiased estimator

unbiasedness

unconditional

expectation

probability

uncorrelated variables

underlying asset

uniform distribution, see distribution, uniform

uniform random variable

upchild

upper triangular form

upper triangular form (system of

equations)

utility

CARA

CRRA

DARA

expected

function

IARA

logarithmic

ordinal

quadratic

Von Neumann-Morgenstern

value at risk

absolute

conditional

relative

value of the stochastic solution

VaR, see value at risk

variability

explained

predictable

unexplained

unpredictable

variable

artificial

categorical

chi-square

continuous

dependent

discrete

dummy

explanatory

free

independent

metric

nominal

nonmetric

nonnegative

qualitative

quantitative

regressed

response

standardized

uncorrelated

unrestricted, see variable free

variance

of portfolio return

computation

conditional

nonlinearity of

properties

sum of independent random variables

sum of independent variables

vector

addition

length

multiplication by a scalar

norm

operation on

optimization

orthogonal

orthonormal

rotation

unit

vertex

volatility

VSS, see value of the stochastic solution

wait-and-see solution

weakly stationary process

weighted average

weighted least squares

whisker diagram

white noise

Gaussian

worst-case residual

yield to maturity