Ziemba William T.

William T. Ziemba

Information about the author William T. Ziemba will soon be added to the site.
Found 12 papers in total
Applying operations research techniques to financial markets
Applying operations research techniques to financial markets
2003
OR techniques are applied to nonportfolio problems in financial markets, such as the...
Growth versus security tradeoffs in dynamic investment analysis
Growth versus security tradeoffs in dynamic investment analysis
1999
This paper presents an approach to the problem of optimal dynamic choice in discrete...
Preface to Special Issue on ‘Stochastic Programming: The state of the art 1998’
Preface to Special Issue on ‘Stochastic Programming: The state of the art 1998’
1999
This preface describes some of the papers presented at the 8th International...
Formulation of the Russell–Yasuda Kasai financial planning model
Formulation of the Russell–Yasuda Kasai financial planning model
1998
This paper describes the formulation of the Russell–Yasuda Kasai financial...
Concepts, technical issues, and uses of the Russell–Yasuda Kasai financial planning model
Concepts, technical issues, and uses of the Russell–Yasuda Kasai financial planning model
1998
This paper discusses technical aspects of the Russell–Yasuda Kasai financial...
Implementing bounds-based approximations in convex–concave two-stage stochastic programming
Implementing bounds-based approximations in convex–concave two-stage stochastic programming
1996
This paper is concerned with implementational issues and computational testing of...
World wide security market regularities
World wide security market regularities
1994
This paper is a brief survey of systematic violations of security market efficiencies...
Investing in the turn-of-the-year effect in the U.S. futures markets
Investing in the turn-of-the-year effect in the U.S. futures markets
1994
Security markets have consistent patterns of a seasonal or fundamental nature that...
The Russell-Yasuda kasai model: An asset/liability model for a Japanese insurance company using multistage stochastic programming
The Russell-Yasuda kasai model: An asset/liability model for a Japanese insurance company using multistage stochastic programming
1994
Frank Russell Company and The Yasuda Fire and Marine Insurance Co., Ltd., developed an...
Univariate and multivariate measures of risk aversion and risk premiums
Univariate and multivariate measures of risk aversion and risk premiums
1993
This paper develops univariate and multivariate measures of risk aversion for...
Locks at the racetrack
Locks at the racetrack
1990
The folklore of investment is replete with stories of arbitrage opportunities where...
Characterizations of optimal portfolios by univariate and multivariate risk aversion
Characterizations of optimal portfolios by univariate and multivariate risk aversion
1989
In a portfolio selection model with two risky investments having bivariate normally...
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