William T. Ziemba

According to our database1, William T. Ziemba authored at least 36 papers between 1970 and 2019.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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PhD thesis 
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Bibliography

2019
A boundary-point LP solution method and its application to dense linear programs.
Int. J. Math. Oper. Res., 2019

2011
Mean-variance versus expected utility in dynamic investment analysis.
Comput. Manag. Sci., 2011

2009
Portfolio Selection: Markowitz Mean-variance Model.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Operations Research and Financial Markets.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Use of stochastic and mathematical programming in portfolio theory and practice.
Ann. Oper. Res., 2009

2008
The duality of option investment strategies for hedge funds.
Math. Program., 2008

The Innovest Austrian Pension Fund Financial Planning Model InnoALM.
Oper. Res., 2008

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control.
Eur. J. Oper. Res., 2008

2005
26. Wealth Goals Investing.
Proceedings of the Applications of Stochastic Programming, 2005

1. Stochastic Programming Computer Implementations.
Proceedings of the Applications of Stochastic Programming, 2005

11. Introduction to Stochastic Programming Applications.
Proceedings of the Applications of Stochastic Programming, 2005

2003
Applying Operations Research Techniques to Financial Markets.
Interfaces, 2003

A process control approach to investment risk.
Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003

2001
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation.
Math. Program., 2001

1999
Growth versus security tradeoffs indynamic investment analysis.
Ann. Oper. Res., 1999

1998
Formulation of the Russell-Yasuda Kasai Financial Planning Model.
Oper. Res., 1998

Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model.
Oper. Res., 1998

1996
Implementing bounds-based approximations in convex-concave two-stage stochastic programming.
Math. Program., 1996

1995
Chapter 15 Asset and liability allocation in a global environment.
Proceedings of the Finance, 1995

Preface.
Proceedings of the Finance, 1995

Chapter 18 Efficiency of sports and lottery betting markets.
Proceedings of the Finance, 1995

Chapter 3 Capital growth theory.
Proceedings of the Finance, 1995

1994
Bounding the Expectation of a Saddle Function with Application to Stochastic Programming.
Math. Oper. Res., 1994

Bounds for Two-Stage Stochastic Programs with Fixed Recourse.
Math. Oper. Res., 1994

1993
Univariate and multivariate measures of risk aversion and risk premiums.
Ann. Oper. Res., 1993

1992
Tight Bounds for Stochastic Convex Programs.
Oper. Res., 1992

1991
Growth-security profiles in capital accumulation under risk.
Ann. Oper. Res., 1991

1987
OR Practice - Playing the Turn-of-the-Year Effect with Index Futures.
Oper. Res., 1987

1986
A Bank Asset and Liability Management Model.
Oper. Res., 1986

1985
Generalized concavity of a function in portfolio theory.
Z. Oper. Research, 1985

1981
Is energy self sufficiency a realistic goal for Canada?
Oper. Res. Lett., 1981

1979
Two-Period Stochastic Programs with Simple Recourse.
Oper. Res., 1979

1977
Errata.
Oper. Res., 1977

Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming.
Oper. Res., 1977

Sharp Bounds on the Value of Perfect Information.
Oper. Res., 1977

1970
Computational Algorithms for Convex Stochastic Programs with Simple Recourse.
Oper. Res., 1970


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