Publications

 

This is a short list of recent and relevant publications by Dr. Ziemba. Click here for a more comprehensive list in PDF format.

 

Published Journal Articles

-> Ziemba, W. T., The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators, Journal of Portfolio Management, 2005 (Fall): 108-122.
-> MacLean, L., Ziemba, W.T., Li, Y. (2005)Time to Wealth Goals in Capital Accumulation and the Optimal Trade-off of Growth versus Security, Quantitative Finance, 5(4):343-357.
-> Zhao, Y., Ziemba, W.T., Calculating risk neutral probabilities and optimal portfolio policy in a dynamic investment model with downside risk control, forthcoming European Journal of Operational Research.
-> Zhao, Y., Ziemba, W.T. A dynamic asset allocation model with downside risk control, The Journal of Risk 3 (Fall 2000): 91-113.
-> Cariño, D., and Ziemba, W.T., "Formulation of the Russell-Yasuda Kasai Financial Planning Model", Operations Research, 46:4, July/August 1998, 433-449
-> Ziemba, W.T., "Worldwide Security Market Regularities", European Journal of Operational Research, 74, 1994, 198-229.
-> Markowitz, H.M., Schaible, S., Ziemba, W.T., "An Algorithm for Portfolio Selection in a Lognormal Market," International Journal of Financial Analysis, 1992, Vol. 1, No.2, 109-113.
-> Shaw, J., Thorp, E.O, Ziemba, W.T., "Convergence to Efficiency of the Nikkei Put Warrant Market of 1989-90", Applied Mathematical Finance, 2, 1995, 243-271.

Articles in Books

-> MacLean, L.C., Ziemba, W.T. (2006) Capital growth theory and practice in Handbook of Asset and Liability Modeling, Volume 1: Theory and Methodology, S.A. Zenios, W.T. Ziemba (eds) in Handbooks in Finance, North Holland, 429-473.
-> MacLean, L.C., Zhao, Y. , Ziemba, W.T. ( 2005) Growth-security models and stochastic dominance, in Stochastic Optimization: Planning under Uncertainty, G. Danzig and G. Infanger,. Kluwer, forthcoming
-> MacLean, L.C., Ziemba, W.T. (2006) Capital growth theory and practice in Handbook of Asset and Liability Modeling, Volume 1: Theory and Methodology, S.A. Zenios, W.T. Ziemba (eds) in Handbooks in Finance, North Holland, 429-473.