Ziemba W.T.

W.T. Ziemba

Information about the author W.T. Ziemba will soon be added to the site.
Found 6 papers in total
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation
2001
We present a new approach to asset allocation with transaction costs. A multiperiod...
Bounds for two-stage stochastic programs with fixed recourse
Bounds for two-stage stochastic programs with fixed recourse
1994
This paper develops upper and lower bounds on two-stage stochastic linear programs...
Bounding the expectation of a saddle function with application to stochastic programming
Bounding the expectation of a saddle function with application to stochastic programming
1994
The authors previously obtained tight upper and lower bounds to the expectation of a...
Growth versus security in dynamic investment analysis
Growth versus security in dynamic investment analysis
1992
This paper concerns the problem of optimal dynamic choice in discrete time for an...
Tight bounds for stochastic convex programs
Tight bounds for stochastic convex programs
1992
Variable and row aggregation as a technique of simplifying a mathematical program is...
Growth-security profiles in captial accumulation under risk
Growth-security profiles in captial accumulation under risk
1991
This paper considers the tradeoff between growth and security in the problem of...
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