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Quick links to sections on this page:  Selected Published Journal ArticlesSelected Articles in BooksPapers Submitted for Publication
Selected Published Journal Articles J1 Ziemba, W.T., "Note on 'Optimal Growth Portfolios when Returns are Serially Correlated'," Journal of Financial and Quantitative Analysis J2 Ziemba, W.T., Parkan, C., Brooks-Hill, F.J., "Calculation of Investment Portfolios with Risk Free Borrowing and Lending," Management Science XXI: 209-222 (1974). J3 Ohlson, J.A., Ziemba, W.T., "Optimal Portfolio Policies for an Investor with a Power Utility Function Facing a Log Normal Securities Market," Journal of Financial and Quantitative Analysis XI: 57-71 (1976). J4 Ziemba, W.T., "Multiperiod Consumption-Investment Decisions: Further Comments," American Economic Review LXVII: 766-767 (1977). J5 Huang, C.C., Vertinsky, I., Ziemba, W.T., "On Multiperiod Stochastic Dominance," Journal of Financial and Quantitative Analysis XIII: 1-13 (1978). J6 Kira, D., Ziemba, W.T., "The Demand for a Risky Asset," Management Science XXVI: 1158-1165 (1980). J7 Hausch, D.G., Ziemba, W.T., Rubinstein, M.E., "Efficiency of the Market for Racetrack Betting," Management Science XXVII: 1435-1452 (1981). J8 Kallberg, J.G., White, R., Ziemba, W.T., "Short Term Financial Planning Under Uncertainty," Management Science XXVIII: 670-682 (1982). J9 Kallberg, J.G., Ziemba, W.T., "Comparison of Alternative Utility Functions in Portfolio Selection Problems," Management Science XXIX: 1257-1276 (1983). J10 Kusy, M.I., Ziemba, W.T., "A Bank Asset and Liability Management Model," Operations Research XXXIV: 356-376 (1986). J11 Clark, R., Ziemba, W.T., "Playing the Turn-of-the-Year Effect with Index Futures," Operations Research XXXV: 799-813 (1988). J12 Thaler, R.H., Ziemba, W.T., "Parimutuel Betting Markets: Racetracks and Lotteries," Journal of Economic Perspectives II: 161-174 (1988). J13 Ziemba, W.T., "Discussion of 'The Buying and Selling Behavior of Individual Investors at the Turn of the Year' by Jay R. Ritter," Journal of Finance XLIII: 717-719 (1988). J14 Li, Y., Ziemba, W.T., "Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion," Management Science, XXXV (1989) 259-269. J15 Hausch, D.B., Ziemba, W.T., "Arbitrage Strategies for Cross Track Betting on Major Horseraces," Journal of Business, 1990, LXIII, 61-78. J16 Ziemba, W.T., "Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects," Japan and the World Economy, 3, 1991, 119-146. J17 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. J18 Chopra, V., Ziemba, W.T. "The Effect of Errors in Mean and Co-Variance Estimates on Optimal Portfolio Choice," Journal of Portfolio Management, Winter 1993, 6-11. J19 Stone, D. Ziemba, W.T., "Land and Stock Prices in J20 Ziemba, W.T., "Worldwide Security Market Regularities", European Journal of Operational Research, 74, 1994, 198-229. J21 Cariño, D. et al., Ziemba, W.T., "The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming", INTERFACES, January - February 1994, (Edelman Prize issue), 29-49. (A story about this paper is in the March 31, 1991 issue of the New York Times.) J22 Hensel, C.R., Ziemba, W.T., "U.S. Small and Large Capitalized Stocks, Bonds and Cash Returns During Democratic and Republican Administrations, 1928-1993", Financial Analysts Journal, 51:2, March/April 1995, 61-69. J23 Hensel, C.R., Ziemba, W.T., "The January Barometer: Swiss, European and Global Results", Finanzmarket and Portfolio Management, 9:2, 1995, 187-196. J24 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. J25 Hensel, C.R., Sick, G., Ziemba, W.T., "Investment Results from Exploiting Turn-of-the-Month-Effects", the Journal of Portfolio Management, Spring 1996, 17-23. (A story about this paper is in the November 7, 1995 issue of the Wall Street Journal.) J26 Cariño, D., and Ziemba, W.T., "Formulation of the Russell-Yasuda Kasai Financial Planning Model", Operations Research, 46:4, July/August 1998, 433-449. J27 Cariño, D., Myers, D., and Ziemba, W.T., Concepts, Technical Issues and Uses of the Russell-Yasuda Kasai Financial Planning Model, Operations Research, 46:4, July/August 1998, 450-462. J28 MacLean, L.C., W.T. Ziemba, Growth Versus Security Tradeoffs in Dynamic Investment Analysis, in R. J-B. Wets and W.T. Ziemba (eds), Stochastic Programming: State of the Art 1998, Annals of Operations, ResearchBalzer Science Publishers, 1999, 193-226. J29 Zhao, Y., Ziemba, W.T. A stochastic programming model using an endogeneously determined worst case risk measure in a risk-return framework for dynamic asset allocation, Mathematical Programming, 2001, Series B, 89 (2): 293-309. J30 Zhao, Y., Ziemba, W.T. A dynamic asset allocation model with downside risk control, The Journal of Risk 3 (Fall 2000): 91-113. J31 MacLean, L.C., Sanegre, R., Zhao, Y., Ziemba, W.T., Capital Growth with Security, Journal of Economic Dynamics and Control 28:4 (2004): 937-954. J32 Rudolf, M., Ziemba, W.T., Intertemporal Asset-Liability Management ,Journal of Economic Dynamics and Control, 28:4 (2004): 975-990. J33 Zhao, Y., Haussmann, U., Ziemba, W.T., A Dynamic Investment Model with a Minimum Attainable Wealth Requirement, Mathematical Finance 13 (October 2003): 481-501. J34 Board, J.L.C., Sutcliffe, C.M.S., Ziemba,, W.T. Applying Operations Research Techniques to Financial Markets Interfaces, 32 (March-April 2003) J35 Lane, D., Ziemba, W.T. Jai-Alai Hedging Strategies, European Journal of Finance (2004): 353-369. J36 Douglass, J., Wu, O., Ziemba, W.T. Stock ownership decisions in defined contribution pension plans, Journal of Portfolio Management, Summer, 2004, 92-100. J37 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. J38 MacLean, L. C., Zhao, Y., Ziemba, W. T. (2006) Dynamic portfolio selection with process control. Journal of Banking and Finance 30 (2) 317 - 339 J39 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. J40 Zhao, Y., Ziemba, W.T. (2008) Calculating risk neutral probabilities and optimal portfolio policy in a dynamic investment model with downside risk control, European Journal of Operational Research 185:1525–1540 J41 Koivu, M., Pennanen, T., Ziemba, W.T. Cointegration analysis of the J42 Hausch, D.B., Bain, R., Ziemba, W.T. (2006) An Application of Expert Information to Win Betting on the Kentucky Derby”, 1981-2001, European Journal of Finance 12: 283-301. (featured on BCTV, May 1999 and in Louisville Times, June 2001). J43 Zhao, Y., Ziemba, W.T. (2007) On Leland’s Option Pricing and Hedging Strategy with Transactions Costs, Finance Research Letters 4:49-58. J44 Kouwenberg, R., Ziemba, W.T. (2007) Incentives and risk taking in hedge funds, Journal of Banking and Finance 31: 3291–3310. J45 MacLean, L.C., Foster, M., Ziemba, W.T. (2007) Empirical Bayes estimation with dynamic portfolio models, Journal of Banking and Finance, 31 3503–3523. J46 Kallio, M., Ziemba, W.T. (2007) Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory, Journal of Banking and Finance 31: 2281-2302. J47 Rendon, J. and Ziemba, W.T. (2007) Is the January effect still alive in the futures markets? Finanzmarket and Portfolio Management, 21: 381-396. J48 Geyer, A., Ziemba, W.T., (2008) The Innovest Austrian Pension Fund Planning Model InnoALM, Operations Research 56 (4); 797-810. J49 Berge, K, Consigli, G., Ziemba, W.T, (2008) The predictive ability of the bond stock earnings yield differential, Journal of Portfolio Management (Spring): 63-80. J50 Rodriguez, J., Ziemba, W.T. (2008) Duality relations of hedge fund managers’ incentive fee optimization problems, Mathematical Programming, 35pp, forthcoming. J51 Zhao, Y, Ziemba, W.T. (2007) 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. J52 Ziemba, W.T. (2008) Use of stochastic and mathematical programming in portfolio theory and practice: Keynote address. Annals of Operations Research (October) J53 Consigli, G., MacLean, L.C., Zhao, Y., Ziemba, W.T. (2009) The bond-stock yield differential as a risk indicator in financial markets. Journal of Risk, 11 (3): 3-24. J54 MacLean, L.C., Consigli, G., Zhao, Y., Ziemba, W.T. Risk indicators in equity markets. Computational Management Science, in press.
K1 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. K2 Ziemba, W.T. (2007)The Russell Yasuda, InnoALM and related models for pensions, insurance companies and high net worth individuals in Handbook of Asset and Liability Modeling, Volume 2: Applications and Case Studies, S.A. Zenios, W.T. Ziemba (eds) in Handbooks in Finance, North Holland, 861-962. K3 Schwartz, S.L., Ziemba, W.T. (2007) ALM in social security, in Handbook of Asset and Liability Modeling, Volume 2: Applications and Case Studies, S.A. Zenios, W.T. Ziemba (eds) in Handbooks in Finance, North Holland, 1069-1117. K4 MacLean, L.C., Zhao, Y., Ziemba, W.T. (2008) Growth-security models and stochastic dominance, in Stochastic Optimization: Planning under Uncertainty, G. Danzig and G. Infanger,. Kluwer, forthcoming K5 MacLean, L., Zhao, Y., Consigli, G., Ziemba, W.T. (2006). Estimating parameters in a pricing model with state dependent shocks. to appear in Handbook of Financial Engineering, P.M. Paradolos and C. Zopounidis (Eds). K6 Purnanandam, A, Warachka, M., Yonggan Zhao, Y., Ziemba, W.T. (2007) Incorporating diversification into risk management, in Advances in Risk Management, G.N. Gregoriou (ed), Palgrave, pp 22-46. K7 MacLean, L.C., Zhao, Y., Ziemba, W.T. (2003) A process control approach to investment risk. IEEE International Conference on Computational Intelligence for Financial Engineering, 265-270. K8 Tompkins, R.G., Ziemba, W.T., Hodges, S.H. (2008) The favorite-longshot bias in S&P500 futures options: the return to bets and the cost of insurance, in Handbook of Sports and Lottery Markets, D.B. Hausch, W.T. Ziemba (eds) in Handbooks in Finance, K9 Ziemba, W.T. (2008) Efficiency of racetrack betting markets, in Handbook of Sports and Lottery Markets, D.B. Hausch, W.T. Ziemba (eds) in Handbooks in Finance, K11 Gramm, M., Ziemba, W.T. (2008) The dosage breeding theory for horseracing predictions, in Handbook of Sports and Lottery Markets, D.B. Hausch, W.T. Ziemba (eds) in Handbooks in Finance, North Holland, 307-332. K12 Ziemba, W.T. (2008) Ideas in asset liability management in the tradition of H.M. Markowitz in Essays in Honor of H.M. Markowitz, J. Guerard (ed), Springer. K13 MacLean, L.C., Ziemba, W.T. (2009) The Kelly strategy, in Encyclopedia of Quantitative Finance, B. Cont and M. Stutzer (eds)
P1 MacLean, L.C., Zhao, Y., Ziemba, W.T., Intertemporal mean variance efficiency with Markovian state price density, submitted to Journal of Banking and Finance, 27 pp.
P2 Edirisinghe, N.C.P., Ziemba, W.T., An algorithm for large-scale linear programming, submitted to Mathematical Programming, 22 pp, in second round.
P3 Ziemba, W.T. What operations research can contribute to your personal financial situation including your retirement, solicited article for Interfaces, 22 pp. P4 MacLean, L.C., Zhao, Y. and Ziemba, W.T. Weak interest rate parity and currency portfolio diversification. Submitted to Journal of Financial and Quantitative Analysis, 50 pp. P5 Ghosh, S, Bhalla, G. and Ziemba, W.T. The January Barometer, 1926-2005, Technical Report, Sauder School of Business, submitted to Financial Analysts Journal, 22 pp. P6 Berge, K., Ziemba, W.T., The predictive ability of the bond and stock earnings yield differential in US and foreign markets, 1970-2005, submitted to Journal of Financial and Quantitative Analysis, 40 pages. P7 MacLean, L.C., Zhao, Y. , Ziemba, W.T., Endogenous volatilities for hedging and pricing option with transaction costs, submitted to Journal of Financial and Quantitative Analysis, 30 pages. P8 Consigli, G., MacLean, L., Zhao, Y., Ziemba, W., Speculative bubbles: asset prices with yield dependent market corrections.” submitted to Journal of Financial Markets. P9 Ziemba, P10 Ziemba, W.T., Understanding the finite properties of the Kelly capital growth criterion: a tale of five investors, submitted to Journal of Economic Perspectives, 20 pp. P11 Gramm, M., Ziemba,W.T., Market efficiency of
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