William T Ziemba's Contributions to Portfolio Theory and Practice

Abstract

This paper reviews contributions to portfolio theory and practice by William T. Ziemba and his colleagues. The paper covers static and dynamic portfolio and capital growth theory along with real applications to asset and asset-liability management and various types of trading and prediction and risk control models for a variety of asset classes. There is reference to and synopsis of many journal articles, academic and practical research and books. The effects of parameter errors on optimal portfolio choice is reviewed along with exit strategies from bubble like financial markets. Mispriced options, risk and pure arbitrage, political effects and stock market anomalies are used along with optimization in various applications.

Keywords: static and dynamic portfolio theory, capital growth, using anomalies in asset allocation, asset-liability management, prediction of financial market direction and large declines, political effects on asset prices, risk and pure arbitrage, effects of parameter estimation errors

JEL Classification: C02, C44, C54, C61, G01, G11