William T. Ziemba - researchr alias

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Viewing Publication 1 - 35 from 35

2022

Sports AnalyticsLeonard C. MacLean, William T. Ziemba. Volume 18 of World Scientific Series in Finance, WorldScientific, 2022. [doi]

2019

A boundary-point LP solution method and its application to dense linear programsChanaka Edirisinghe 0002, William T. Ziemba. ijmor, 15(3):310-337, 2019. [doi]

2011

Mean-variance versus expected utility in dynamic investment analysisLeonard C. MacLean, Yonggan Zhao, William T. Ziemba. cms, 8(1-2):3-22, 2011. [doi]

2009

Use of stochastic and mathematical programming in portfolio theory and practiceWilliam T. Ziemba. anor, 166(1):5-22, 2009. [doi]

2008

The Innovest Austrian Pension Fund Financial Planning Model InnoALMAlois Geyer, William T. Ziemba. ior, 56(4):797-810, 2008. [doi]

The duality of option investment strategies for hedge fundsJosé R. Rodríguez-Mancilla, William T. Ziemba. mp, 113(1):95-131, 2008. [doi]

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk controlYonggan Zhao, William T. Ziemba. eor, 185(3):1525-1540, 2008. [doi]

2005

1. Stochastic Programming Computer ImplementationsHorand I. Gassmann, Stein W. Wallace, William T. Ziemba. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 3-8, SIAM, 2005. [doi]

11. Introduction to Stochastic Programming ApplicationsHorand I. Gassmann, Sandra L. Schwartz, Stein W. Wallace, William T. Ziemba. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 179-184, SIAM, 2005. [doi]

26. Wealth Goals InvestingLeonard C. MacLean, Yonggan Zhao, William T. Ziemba. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 531-544, SIAM, 2005. [doi]

2003

Applying Operations Research Techniques to Financial MarketsJohn L. G. Board, Charles M. S. Sutcliffe, William T. Ziemba. interfaces, 33(2):12-24, 2003. [doi]

A process control approach to investment riskLeonard MacLean, Yonggan Zhao, William T. Ziemba. cifer 2003: 265-270 [doi]

2001

A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocationYonggan Zhao, William T. Ziemba. mp, 89(2):293-309, 2001. [doi]

1999

Growth versus security tradeoffs indynamic investment analysisLeonard C. MacLean, William T. Ziemba. anor, 85:193-225, 1999. [doi]

1998

Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning ModelDavid R. Cariño, David H. Myers, William T. Ziemba. ior, 46(4):450-462, 1998. [doi]

Formulation of the Russell-Yasuda Kasai Financial Planning ModelDavid R. Cariño, William T. Ziemba. ior, 46(4):433-449, 1998. [doi]

1996

Implementing bounds-based approximations in convex-concave two-stage stochastic programmingN. C. P. Edirisinghe, William T. Ziemba. mp, 75:295-325, 1996.

1995

Chapter 3 Capital growth theoryNils H. Hakansson, William T. Ziemba. In Robert A. Jarrow, Vojislav Maksimovic, William T. Ziemba, editors, Finance. Volume 9 of Handbooks in operations research and management science, pages 65-86, Elsevier, 1995. [doi]

Chapter 18 Efficiency of sports and lottery betting marketsDonald B. Hausch, William T. Ziemba. In Robert A. Jarrow, Vojislav Maksimovic, William T. Ziemba, editors, Finance. Volume 9 of Handbooks in operations research and management science, pages 545-580, Elsevier, 1995. [doi]

PrefaceRobert Jarrow, Vojislav Maksimovic, William T. Ziemba. In Robert A. Jarrow, Vojislav Maksimovic, William T. Ziemba, editors, Finance. Volume 9 of Handbooks in operations research and management science, Elsevier, 1995. [doi]

Chapter 15 Asset and liability allocation in a global environmentJohn M. Mulvey, William T. Ziemba. In Robert A. Jarrow, Vojislav Maksimovic, William T. Ziemba, editors, Finance. Volume 9 of Handbooks in operations research and management science, pages 435-463, Elsevier, 1995. [doi]

1994

Bounding the Expectation of a Saddle Function with Application to Stochastic ProgrammingN. C. P. Edirisinghe, William T. Ziemba. mor, 19(2):314-340, 1994. [doi]

Bounds for Two-Stage Stochastic Programs with Fixed RecourseN. C. P. Edirisinghe, William T. Ziemba. mor, 19(2):292-313, 1994. [doi]

1993

Univariate and multivariate measures of risk aversion and risk premiumsYuming Li, William T. Ziemba. anor, 45(1):265-296, 1993. [doi]

1992

Tight Bounds for Stochastic Convex ProgramsN. C. P. Edirisinghe, William T. Ziemba. ior, 40(4):660-677, 1992. [doi]

1991

Growth-security profiles in capital accumulation under riskLeonard C. MacLean, William T. Ziemba. anor, 31(1):501-509, 1991. [doi]

1987

OR Practice - Playing the Turn-of-the-Year Effect with Index FuturesRoss Clark, William T. Ziemba. ior, 35(6):799-813, 1987. [doi]

1986

A Bank Asset and Liability Management ModelM. I. Kusy, William T. Ziemba. ior, 34(3):356-376, 1986. [doi]

1985

Generalized concavity of a function in portfolio theorySiegfried Schaible, William T. Ziemba. mmor, 29(5):161-186, 1985. [doi]

1981

Is energy self sufficiency a realistic goal for Canada?J. D. Fuller, S. L. Schwartz, William T. Ziemba. orl, 1(1):2-5, 1981. [doi]

1979

Two-Period Stochastic Programs with Simple RecourseR. Everitt, William T. Ziemba. ior, 27(3):485-502, 1979. [doi]

1977

Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic ProgrammingC.-C. Huang, William T. Ziemba, A. Ben-Tal. ior, 25(2):315-325, 1977. [doi]

Sharp Bounds on the Value of Perfect InformationC.-C. Huang, Ilan Vertinsky, William T. Ziemba. ior, 25(1):128-139, 1977. [doi]

ErrataWilliam T. Ziemba. ior, 25(6):1040, 1977. [doi]

1970

Computational Algorithms for Convex Stochastic Programs with Simple RecourseWilliam T. Ziemba. ior, 18(3):414-431, 1970. [doi]

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