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William T. Ziemba - Publications

Affiliations: 
University of British Columbia, Vancouver, Vancouver, BC, Canada 
Area:
Finance
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92 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Ziemba WT. William T. Ziemba's Contributions to Portfolio Theory and Practice Wilmott. 2020: 46-57. DOI: 10.2139/Ssrn.3470810  0.47
2019 Lleo S, Ziemba WT. Can Warren Buffett Forecast Equity Market Corrections European Journal of Finance. 25: 369-393. DOI: 10.2139/Ssrn.2630068  0.436
2019 Moffitt SD, Ziemba WT. A Risk Arbitrage Strategy for Lotteries Wilmott. 2019: 52-63. DOI: 10.1002/Wilm.10750  0.33
2018 Lleo S, Ziemba WT. Predicting Stock Market Crashes in China The Journal of Portfolio Management. 44: 125-135. DOI: 10.3905/Jpm.2018.1.078  0.421
2018 Dzhabarov C, Ziegler A, Ziemba WT. Sell in May and Go Away: The Evidence in the International Equity Index Futures Markets Quantitative Finance. 18: 171-181. DOI: 10.1080/14697688.2017.1406232  0.417
2017 Lleo S, Ziemba WT. A Tale of Two Indexes: Predicting Equity Market Downturns in China Lse Research Online Documents On Economics. DOI: 10.2139/Ssrn.2698422  0.436
2017 Lleo S, Ziemba WT. Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models? Financial Markets, Institutions and Instruments. 26: 61-123. DOI: 10.1111/Fmii.12080  0.404
2016 Ziemba WT. An Approach to Financial Planning of Retirement Pensions with Scenario-Dependent Correlation Matrixes and Convex Risk Measures The Journal of Retirement. 4: 99-111. DOI: 10.3905/Jor.2016.4.1.099  0.427
2016 MacLean LC, Zhao Y, Ziemba WT. Optimal capital growth with convex shortfall penalties Quantitative Finance. 16: 101-117. DOI: 10.1080/14697688.2015.1059469  0.474
2015 Ziemba WT. A Response to Professor Paul A. Samuelson’s Objections to Kelly Capital Growth Investing The Journal of Portfolio Management. 42: 153-167. DOI: 10.3905/Jpm.2015.42.1.153  0.417
2015 Lleo S, Ziemba WT. The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis? International Journal of Financial Studies. 3: 351-380. DOI: 10.2139/Ssrn.2627822  0.379
2015 Shiryaev AN, Zhitlukhin MV, Ziemba WT. Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 Quantitative Finance. 15: 1449-1469. DOI: 10.1080/14697688.2014.989897  0.458
2015 Lleo S, Ziemba WT. Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world International Journal of Forecasting. 31: 399-425. DOI: 10.1016/J.Ijforecast.2015.02.001  0.434
2014 Shiryaev AN, Zhitlukhin MV, Ziemba WT. When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model The Journal of Portfolio Management. 40: 54-63. DOI: 10.3905/Jpm.2014.40.2.054  0.496
2013 Ziemba WT. Is the 60-40 Stock-Bond Pension Fund Rule Wise? The Journal of Portfolio Management. 39: 63-72. DOI: 10.3905/Jpm.2013.39.2.063  0.419
2013 MacLean LC, Zhao Y, Ziemba WT. An endogenous volatility approach to pricing and hedging call options with transaction costs Quantitative Finance. 13: 699-712. DOI: 10.1080/14697688.2011.639794  0.532
2013 Evstigneev IV, Schenk-Hoppé KR, Ziemba WT. Introduction: behavioral and evolutionary finance Annals of Finance. 9: 115-119. DOI: 10.1007/S10436-013-0229-2  0.419
2013 MacLean LC, Zhao Y, Ziemba WT. Currency returns, market regimes and behavioral biases Annals of Finance. 9: 249-269. DOI: 10.1007/S10436-012-0220-3  0.549
2012 Gergaud O, Ziemba WT. Great Investors: Their Methods, Results, and Evaluation The Journal of Portfolio Management. 38: 128-147. DOI: 10.2139/Ssrn.1985647  0.343
2012 Lleo S, Ziemba WT. Stock Market Crashes in 2007-2009: Were We Able to Predict Them? Quantitative Finance. 12: 1161-1187. DOI: 10.2139/Ssrn.1884081  0.429
2011 MacLean LC, Thorp EO, Zhao Y, Ziemba WT. How Does the Fortune’s Formula Kelly CapitalGrowth Model Perform? The Journal of Portfolio Management. 37: 96-111. DOI: 10.3905/Jpm.2011.37.4.096  0.473
2011 Ziemba WT. Investing in the turn-of-the-year effect Financial Markets and Portfolio Management. 25: 455-472. DOI: 10.1007/S11408-011-0170-1  0.451
2011 MacLean LC, Zhao Y, Ziemba WT. Mean-variance versus expected utility in dynamic investment analysis Computational Management Science. 8: 3-22. DOI: 10.1007/S10287-009-0106-7  0.538
2010 Constantine D, Ziemba WT. Do seasonal anomalies still work? Journal of Portfolio Management. 36: 93-104. DOI: 10.3905/Jpm.2010.36.3.093  0.387
2009 Consigli G, Maclean LC, Zhao Y, Ziemba WT. The bond--stock yield differential as a risk indicator in financial markets Journal of Risk. 11: 3-24. DOI: 10.21314/Jor.2009.192  0.556
2009 Ziemba WT. Use of stochastic and mathematical programming in portfolio theory and practice Annals of Operations Research. 166: 5-22. DOI: 10.1007/S10479-008-0441-Z  0.386
2008 Berge K, Consigli G, Ziemba WT. The Predictive Ability of the Bond-Stock Earnings Yield Differential Model The Journal of Portfolio Management. 34: 63-80. DOI: 10.3905/Jpm.2008.706245  0.412
2008 Geyer A, Ziemba WT. The Innovest Austrian Pension Fund Financial Planning Model InnoALM Operations Research. 56: 797-810. DOI: 10.1287/Opre.1080.0564  0.482
2008 Zhao Y, Ziemba WT. Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control European Journal of Operational Research. 185: 1525-1540. DOI: 10.1016/J.Ejor.2006.09.002  0.538
2008 Rodríguez-Mancilla JR, Ziemba WT. The duality of option investment strategies for hedge funds Mathematical Programming. 113: 95-131. DOI: 10.1007/S10107-007-0198-1  0.433
2007 Rendon J, Ziemba WT. Is the January Effect Still Alive in the Futures Markets Financial Markets and Portfolio Management. 21: 381-396. DOI: 10.2139/Ssrn.591652  0.461
2007 Kouwenberg R, Ziemba WT. Incentives and Risk Taking in Hedge Funds Journal of Banking and Finance. 31: 3291-3310. DOI: 10.2139/Ssrn.574186  0.414
2007 MacLean LC, Foster ME, Ziemba WT. Covariance complexity and rates of return on assets Journal of Banking & Finance. 31: 3503-3523. DOI: 10.1016/J.Jbankfin.2007.04.009  0.31
2007 Kallio M, Ziemba WT. Using Tucker¿s theorem of the alternative to simplify, review and expand discrete arbitrage theory. Journal of Banking and Finance. 31: 2281-2302. DOI: 10.1016/J.Jbankfin.2007.02.004  0.47
2007 Zhao Y, Ziemba WT. Comments on and corrigendum to “Hedging errors with Leland's option model in the presence of transaction costs” [Finance Research Letters 4 (2007) 49–58] Finance Research Letters. 4: 196-199. DOI: 10.1016/J.Frl.2007.04.003  0.397
2007 Zhao Y, Ziemba WT. Hedging errors with Leland's option model in the presence of transaction costs Finance Research Letters. 4: 49-58. DOI: 10.1016/J.Frl.2006.09.002  0.507
2006 Ziemba WT, Vickson RG. Stochastic optimization models in finance Journal of the American Statistical Association. 71: 252. DOI: 10.1142/6101  0.454
2006 Bain RS, Hausch DB, Ziemba WT. An application of expert information to win betting on the Kentucky Derby, 1981–2005 European Journal of Finance. 12: 283-301. DOI: 10.1080/13518470500531051  0.342
2006 MacLean L, Zhao Y, Ziemba W. Dynamic portfolio selection with process control Journal of Banking and Finance. 30: 317-339. DOI: 10.1016/J.Jbankfin.2005.04.002  0.529
2005 Ziemba WT. The Symmetric Downside-Risk Sharpe Ratio The Journal of Portfolio Management. 32: 108-122. DOI: 10.3905/Jpm.2005.599515  0.422
2005 Koivu M, Pennanen T, Ziemba WT. Cointegration Analysis of the Fed Model Finance Research Letters. 2: 248-259. DOI: 10.2139/Ssrn.685481  0.354
2005 Maclean LC, Ziemba WT, Li Y. Time to wealth goals in capital accumulation Quantitative Finance. 5: 343-355. DOI: 10.1080/14697680500149552  0.529
2004 Douglass J, Wu O, Ziemba WT. Stock Ownership Decisions in Defined-Contribution Pension Plans The Journal of Portfolio Management. 30: 92-100. DOI: 10.3905/Jpm.2004.92  0.425
2004 Lane D, Ziemba WT. Jai Alai arbitrage strategies European Journal of Finance. 10: 353-369. DOI: 10.1080/1351847042000254239  0.472
2004 Rudolf M, Ziemba WT. Intertemporal Surplus Management Journal of Economic Dynamics and Control. 28: 975-990. DOI: 10.1016/S0165-1889(03)00058-7  0.463
2004 MacLean LC, Sanegre R, Zhao Y, Ziemba WT. Capital growth with security Journal of Economic Dynamics and Control. 28: 937-954. DOI: 10.1016/S0165-1889(03)00056-3  0.496
2003 Board J, Sutcliffe C, Ziemba WT. Applying operations research techniques to financial markets Interfaces. 33: 12-24. DOI: 10.1287/Inte.33.2.12.14465  0.454
2003 Zhao Y, Haussmann U, Ziemba WT. A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome Mathematical Finance. 13: 481-501. DOI: 10.1111/1467-9965.T01-1-00177  0.543
2001 Zhao Y, Ziemba WT. A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation Mathematical Programming. 89: 293-309. DOI: 10.1007/Pl00011400  0.546
2000 Zhao Y, Ziemba WT. A Dynamic Asset Allocation Model with Downside Risk Control Journal of Risk. 3: 91-113. DOI: 10.21314/Jor.2000.036  0.466
1999 MacLean LC, Ziemba WT. Efficiency concepts in capital accumulation models Philosophical Transactions - Royal Society. Mathematical, Physical and Engineering Sciences. 357: 2029-2037. DOI: 10.1098/Rsta.1999.0415  0.321
1999 MacLean LC, Ziemba WT. Growth versus security tradeoffs indynamic investment analysis Annals of Operations Research. 85: 193-225. DOI: 10.1023/A:1018969727211  0.414
1998 Carino DR, Myers DH, Ziemba WT. Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model Operations Research. 46: 450-462. DOI: 10.1287/Opre.46.4.450  0.358
1998 Carino DR, Ziemba WT. Formulation of the Russell-Yasuda Kasai Financial Planning Model Operations Research. 46: 433-449. DOI: 10.1287/Opre.46.4.433  0.441
1996 Hensel CR, Ziemba WT. Investment Results from Exploiting Turn-of-the-Month Effects The Journal of Portfolio Management. 22: 17-23. DOI: 10.3905/Jpm.1996.409556  0.434
1996 Edirisinghe NCP, Ziemba WT. Implementing bounds-based approximations in convex-concave two-stage stochastic programming Mathematical Programming. 75: 295-325. DOI: 10.1007/Bf02592157  0.327
1995 Hensel CR, Ziemba WT. United States Investment Returns during Democratic and Republican Administrations, 1928–1993 Financial Analysts Journal. 51: 61-69. DOI: 10.2469/Faj.V51.N2.1882  0.382
1995 Hausch DB, Ziemba WT. Chapter 18 Efficiency of sports and lottery betting markets The Finance. 9: 545-580. DOI: 10.1016/S0927-0507(05)80062-3  0.432
1995 Mulvey JM, Ziemba WT. Chapter 15 Asset and liability allocation in a global environment Handbooks in Operations Research and Management Science. 9: 435-463. DOI: 10.1016/S0927-0507(05)80059-3  0.448
1995 Hakansson NH, Ziemba WT. Chapter 3 Capital growth theory The Finance. 9: 65-86. DOI: 10.1016/S0927-0507(05)80047-7  0.442
1994 Edirisinghe NCP, Ziemba WT. Bounding the expectation of a saddle function with application to stochastic programming Mathematics of Operations Research. 19: 314-340. DOI: 10.1287/Moor.19.2.314  0.313
1994 Edirisinghe NCP, Ziemba WT. Bounds for two-stage stochastic programs with fixed recourse Mathematics of Operations Research. 19: 292-313. DOI: 10.1287/Moor.19.2.292  0.306
1994 Ziemba WT. Investing in the Turn-of-the-Year Effect in the US Futures Markets Interfaces. 24: 46-61. DOI: 10.1287/Inte.24.3.46  0.482
1994 Cariño DR, Kent T, Myers DH, Stacy C, Sylvanus M, Turner AL, Watanabe K, Ziemba WT. The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming Interfaces. 24: 29-49. DOI: 10.1287/Inte.24.1.29  0.46
1994 Ziemba WT. World wide security market regularities European Journal of Operational Research. 74: 198-229. DOI: 10.1016/0377-2217(94)90092-2  0.445
1993 Stone D, Ziemba WT. Land and Stock Prices in Japan Journal of Economic Perspectives. 7: 149-165. DOI: 10.1257/Jep.7.3.149  0.448
1993 Li Y, Ziemba WT. Univariate and multivariate measures of risk aversion and risk premiums Annals of Operations Research. 45: 265-296. DOI: 10.1007/Bf02282053  0.342
1992 Edirisinghe NCP, Ziemba WT. Tight Bounds for Stochastic Convex Programs Operations Research. 40: 660-677. DOI: 10.1287/Opre.40.4.660  0.332
1992 Zenios SA, Ziemba WT. Introduction to the Focused Issue on Financial Modeling Management Science. 38: 1525-1528. DOI: 10.1287/Mnsc.38.11.1525  0.362
1992 Markowitz HM, Schaible S, Ziemba WT. An Algorithm for Portfolio Selection in a Lognormal Market International Review of Financial Analysis. 1: 109-113. DOI: 10.1016/S1057-5219(15)30009-0  0.318
1991 Ziemba WT. Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects Japan and the World Economy. 3: 119-146. DOI: 10.1016/0922-1425(91)90001-S  0.394
1991 MacLean LC, Ziemba WT. Growth-security profiles in capital accumulation under risk Annals of Operations Research. 31: 501-510. DOI: 10.1007/Bf02204866  0.373
1991 Ziemba WT, Schwartz SL. The growth in the Japanese stock market, 1949–90 and prospects for the future Managerial and Decision Economics. 12: 183-195. DOI: 10.1002/Mde.4090120211  0.439
1990 Hausch DB, Ziemba WT. Locks at the Racetrack Interfaces. 20: 41-48. DOI: 10.1287/Inte.20.3.41  0.437
1990 Li Y, Ziemba WT. Rules for diversification for all risk averters Journal of Economics and Business. 42: 165-170. DOI: 10.1016/0148-6195(90)90032-8  0.467
1989 Li Y, Ziemba WT. Characterizations of optimal portfolios by univariate and multivariate risk aversion Management Science. 35: 259-269. DOI: 10.1287/Mnsc.35.3.259  0.425
1988 Thaler RH, Ziemba WT. Anomalies Parimutuel Betting Markets: Racetracks and Lotteries Journal of Economic Perspectives. 2: 161-174. DOI: 10.1257/Jep.2.2.161  0.374
1987 Clark R, Ziemba WT. Playing the turn-of-the-year effect with index futures Operations Research. 35: 799-813. DOI: 10.1287/Opre.35.6.799  0.484
1987 Canfield BR, Fauman BC, Ziemba WT. Efficient market adjustment of odds prices to reflect track biases Management Science. 33: 1428-1439. DOI: 10.1287/Mnsc.33.11.1428  0.445
1986 Kusy MI, Ziemba WT. A bank asset and liability management model Operations Research. 34: 356-376. DOI: 10.1287/Opre.34.3.356  0.445
1986 Sick G, Ziemba WT. Arbitrage theory: Introductory lectures on arbitrage-based financial asset pricing European Journal of Operational Research. 27: 255-256. DOI: 10.1016/0377-2217(86)90072-X  0.405
1985 Hausch DB, Ziemba WT. Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model Management Science. 31: 381-394. DOI: 10.1287/Mnsc.31.4.381  0.418
1983 Kallberg JG, Ziemba WT. Comparison of Alternative Utility Functions in Portfolio Selection Problems Management Science. 29: 1257-1276. DOI: 10.1287/Mnsc.29.11.1257  0.396
1982 Kallberg JG, White RW, Ziemba WT. Short Term Financial Planning under Uncertainty Management Science. 28: 670-682. DOI: 10.1287/Mnsc.28.6.670  0.38
1981 Hausch DB, Ziemba WT, Rubinstein M. Efficiency of the Market for Racetrack Betting Management Science. 27: 1435-1452. DOI: 10.1287/Mnsc.27.12.1435  0.484
1980 Kira D, Ziemba WT. The Demand for a Risky Asset Management Science. 26: 1158-1165. DOI: 10.1287/Mnsc.26.11.1158  0.436
1979 Everitt R, Ziemba WT. Two-Period Stochastic Programs with Simple Recourse Operations Research. 27: 485-502. DOI: 10.1287/Opre.27.3.485  0.356
1979 Kallberg JG, Ziemba WT. On the robustness of the Arrow-Pratt risk aversion measure Economics Letters. 2: 21-26. DOI: 10.1016/0165-1765(79)90200-3  0.304
1978 Huang CC, Vertinsky I, Ziemba WT. On Multiperiod Stochastic Dominance Journal of Financial and Quantitative Analysis. 13: 1-13. DOI: 10.2307/2330516  0.33
1977 Huang CC, Vertinsky I, Ziemba WT. Sharp Bounds on the Value of Perfect Information Operations Research. 25: 128-139. DOI: 10.1287/Opre.25.1.128  0.335
1977 Kallberg JG, White RW, Ziemba WT. Abstract: Short-Term Financial Planning under Uncertainty Journal of Financial and Quantitative Analysis. 12: 665-665. DOI: 10.1017/S0022109000023498  0.401
1974 Ziemba WT, Parkan C, Brooks-Hill R. Calculation of Investment Portfolios with Risk Free Borrowing and Lending Management Science. 21: 209-222. DOI: 10.1287/Mnsc.21.2.209  0.444
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