Efficiency of the market for racetrack betting
DB Hausch, WT Ziemba… - Management …, 1981 - pubsonline.informs.org
… simplified it can be solved in less than 1 second of CPU time.lo A discussion of the generalized
concavity properties of (6) will appear in a forthcoming paper by Kallberg and Ziemba. …
concavity properties of (6) will appear in a forthcoming paper by Kallberg and Ziemba. …
The effect of errors in means, variances, and covariances on optimal portfolio choice
VK Chopra, WT Ziemba - Handbook of the fundamentals of financial …, 2013 - World Scientific
… 50, errors in means are about eleven times as important as errors in variances, a result
similar to that of Kallberg & Ziemba. Errors in variances are about twice as important as errors in …
similar to that of Kallberg & Ziemba. Errors in variances are about twice as important as errors in …
Capital growth theory
NH Hakansson, WT Ziemba - Handbooks in operations research and …, 1995 - Elsevier
… The asymptotic validity of quadratic utility as the trading interval approaches zero, in: WT
Ziemba and RG Vickson (eds.), Stochastic Optimization Models in Finance, Academic Press, …
Ziemba and RG Vickson (eds.), Stochastic Optimization Models in Finance, Academic Press, …
Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria
LC MacLean, EO Thorp, WT Ziemba - Quantitative Finance, 2010 - Taylor & Francis
… Thorp and Ziemba actually made this place and show bet and won with a low fractional
Kelly wager. Slew finished third but the second place horse Gate Dancer was disqualified and …
Kelly wager. Slew finished third but the second place horse Gate Dancer was disqualified and …
The Russell-Yasuda Kasai model: An asset/liability model for a Japanese insurance company using multistage stochastic programming
…, AL Turner, K Watanabe, WT Ziemba - …, 1994 - pubsonline.informs.org
Frank Russell Company and The Yasuda Fire and Marine Insurance Co., Ltd., developed an
asset/liability management model using multistage stochastic programming. It determines …
asset/liability management model using multistage stochastic programming. It determines …
Bounds on the expectation of a convex function of a random variable: With applications to stochastic programming
CC Huang, WT Ziemba, A Ben-Tal - Operations Research, 1977 - pubsonline.informs.org
… and Ziemba [13]) as well as in numerical integration. The classic lower bound, Jensen's
inequality [11], is based on bounding the expectation of 4» by the expectation of its linear …
inequality [11], is based on bounding the expectation of 4» by the expectation of its linear …
Anomalies: Parimutuel betting markets: Racetracks and lotteries
RH Thaler, WT Ziemba - Journal of Economic perspectives, 1988 - aeaweb.org
… This is consistent with the Ziemba and Hausch (1987) results suggesting inefficiencies in …
Hausch and Ziemba (1987) have developed an optimal betting model for cross track betting …
Hausch and Ziemba (1987) have developed an optimal betting model for cross track betting …
Formulation of the Russell-Yasuda Kasai financial planning model
DR Carino, WT Ziemba - Operations research, 1998 - pubsonline.informs.org
… The Kusy-Ziemba model allows constraint violations via penalty costs in the objective. Buhler
and Gehring (1978), Cohen and Thore (1970), Crane (1971), and Booth (1972) built very …
and Gehring (1978), Cohen and Thore (1970), Crane (1971), and Booth (1972) built very …
Growth versus security in dynamic investment analysis
LC MacLean, WT Ziemba… - Management Science, 1992 - pubsonline.informs.org
… A more detailed discussion of many of the issues in this section appears in Clark and
Ziemba ( 1987), which was updated by Van der Cruyssen and Ziemba ( 1992a, b).I …
Ziemba ( 1987), which was updated by Van der Cruyssen and Ziemba ( 1992a, b).I …
[BOOK][B] Worldwide asset and liability modeling
WT Ziemba, JM Mulvey - 1998 - books.google.com
The underlying theme of this volume is how to invest assets over time to achieve satisfactory
returns subject to uncertainties, various constraints and liability commitments. Most investors…
returns subject to uncertainties, various constraints and liability commitments. Most investors…