William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business

Professor (Emeritus)

2053 Main Mall

Vancouver, BC V6T 1Z2

Canada

http://williamtziemba.com

Systemic Risk Centre - LSE

Distinguished Visiting Research Associate

Houghton St, London WC2A 2AE, United Kingdom

  • University of British Columbia (UBC) - Sauder School of Business

    • Email
    • Tel: 604-261-1343
    • Fax: 604-263-9572

  • Systemic Risk Centre - LSE

SCHOLARLY PAPERS

47

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29,253

TOTAL CITATIONS
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Top 12,771

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106

Scholarly Papers (47)

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1.

How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments

Number of pages: 58 Posted: 07 May 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 4,435 (4,780)
Citation 4

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hedge fund trading disasters, over betting, Long Term Capital Management, Amarath and Société Genéralé

2.

Seasonal Anomalies

Number of pages: 71 Posted: 13 Feb 2011
William T. Ziemba and Constantine S. Dzhabarov
University of British Columbia (UBC) - Sauder School of Business and Alpha Lake Financial Analytics Corp
Downloads 2,045 (16,661)
Citation 1

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Seasonal Anomalies, January Effect, January Barometer, President And Election Effects

3.

Preface – The Kelly Capital Growth Investment Criterion: Theory and Practice

World Scientific Handbook in Financial Economic Series, Vol. 3, 2011
Number of pages: 2 Posted: 30 May 2011
Edward O. Thorp, Leonard MacLean and William T. Ziemba
University of California, Irvine, Dalhousie University - School of Business Administration and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,570 (25,105)
Citation 7

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Kelly Criterion, Dynamic Investment Analysis, Capital Growth Theory, Sports Betting, Hedge Fund Strategies, Speculative Investing, Fortune's Formula

4.

The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

EFA 2003 Annual Conference Paper No. 135, Sauder School of Business Working Paper
Number of pages: 22 Posted: 23 Jul 2003
Stewart D. Hodges, Robert Tompkins and William T. Ziemba
University of Warwick - Financial Options Research Centre (FORC), Business School of Finance & Management (HfB) - Bankakademie Group and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,475 (27,560)
Citation 11

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long-shot bias, gambling, option prices, implied volatilities

5.

Can Warren Buffett Forecast Equity Market Corrections?

Number of pages: 39 Posted: 14 Jul 2015 Last Revised: 14 Jul 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,363 (30,980)
Citation 3

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stock market crashes, equity markets, market value-to-GNP ratio, equity market, GNP, GDP, likelihood ratio test, Monte Carlo

6.

Preface to: Efficiency of Racetrack Betting Markets (2008 Edition)

EFFICIENCY OF RACETRACK BETTING MARKETS, Second Edition, World Scientific, 2008
Number of pages: 7 Posted: 08 Dec 2009
Donald B. Hausch, William T. Ziemba and Victor S. Lo
University of Wisconsin at Madison, University of British Columbia (UBC) - Sauder School of Business and affiliation not provided to SSRN
Downloads 1,186 (38,040)
Citation 3

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Racetrack Efficiency, Racetrack Betting Market, Racetrack Betting, Win Market, Finance

7.

On Leland's Option Hedging Strategy with Transaction Costs

Sauder School of Business Working Paper
Number of pages: 33 Posted: 17 Sep 2004
Yonggan Zhao and William T. Ziemba
Nanyang Technological University and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,132 (40,612)
Citation 6

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8.

The Predictive Ability of the Bond Stock Earnings Yield Differential in World-Wide Equity Markets

Sauder School of Business Working Paper
Number of pages: 74 Posted: 21 Mar 2002
Klaus Berge and William T. Ziemba
Dresden University of Technology - Faculty of Economics and Business Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,100 (42,414)
Citation 4

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Crashes, Efficient capital markets

9.

Sell in May and Go Away in the Equity Index Futures Markets

Number of pages: 8 Posted: 24 Jan 2016
Constantine S. Dzhabarov and William T. Ziemba
Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,054 (44,997)
Citation 3

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Halloween indicator, small and large cap returns, portfolio management

10.

Incentives and Risk Taking in Hedge Funds

Downloads 920 (54,365)
Citation 24

Incentives and Risk Taking in Hedge Funds

Sauder School of Business Working Paper
Number of pages: 39 Posted: 10 Aug 2004
Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of British Columbia (UBC) - Sauder School of Business
Downloads 920 (53,533)
Citation 24

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Hedge funds, incentive fees, optimal portfolio choice

Incentives and Risk Taking in Hedge Funds

Journal of Banking and Finance, Vol. 31, No. 11, 2007
Posted: 16 Nov 2007
Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of British Columbia (UBC) - Sauder School of Business

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Hedge funds, Incentive fees, Optimal portfolio choice

11.

Stock Market Crashes in 2007-2009: Were We Able to Predict Them?

Number of pages: 63 Posted: 12 Jul 2011 Last Revised: 29 Mar 2023
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 712 (76,677)
Citation 2

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stock market, crashes, efficient capital markets, China, Iceland

12.

Calculating Risk Neutral Probabilities and Optimal Portfolio Policies in a Dynamic Investment Model with Downside Risk Control

Sauder School of Business Working Paper
Number of pages: 28 Posted: 21 Sep 2004
Yonggan Zhao and William T. Ziemba
Nanyang Technological University and University of British Columbia (UBC) - Sauder School of Business
Downloads 662 (84,076)

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Risk Neutral Probabilities, Dynamic Investment Model, Multiperiod Stochastic Programming

13.

Is the January Effect Still Alive in the Futures Markets?

Downloads 640 (87,812)
Citation 2

Is the January Effect Still Alive in the Futures Markets?

Sauder School of Business Working Paper
Number of pages: 38 Posted: 17 Sep 2004
Juan Rendon and William T. Ziemba
Universitat Pompeu Fabra and University of British Columbia (UBC) - Sauder School of Business
Downloads 640 (86,670)
Citation 2

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January effect, futures markets, small capitalized stocks

Is the January Effect Still Alive in the Futures Markets?

Financial Markets and Portfolio Management, Vol. 21, No. 3, pp. 381-396, 2007
Posted: 11 Sep 2007
Juan Rendon and William T. Ziemba
Universitat Pompeu Fabra and University of British Columbia (UBC) - Sauder School of Business

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January effect , Futures markets, Small capitalized stocks

14.

Arbitrage Pricing Simplified

Sauder School of Business Working Paper
Number of pages: 23 Posted: 10 Aug 2004
Markku Kallio and William T. Ziemba
Helsinki School of Economics & Business Administration - Department of Economics & Management Science and University of British Columbia (UBC) - Sauder School of Business
Downloads 634 (88,875)
Citation 1

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Asset pricing, arbitrage theory, derivatives pricing, options pricing, incomplete markets, imperfect markets

15.

The COVID-19 Crash in the US Stock Market

Number of pages: 20 Posted: 01 Jul 2020
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 629 (89,808)
Citation 2

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COVID-19 response, stock market crash, stock market rally, Fed stimulus, government stimulus, effect of the volatility index, bond and stock prices.

16.

Cointegration Analysis of the Fed Model

Sauder School of Business Working Paper
Number of pages: 12 Posted: 08 Apr 2005
Matti Koivu, Teemu Pennanen and William T. Ziemba
European Central Bank (ECB), Aalto University and University of British Columbia (UBC) - Sauder School of Business
Downloads 626 (90,323)
Citation 3

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Cointegration analysis, Vector equilibrium correction, VAR, Stock markets

17.

A Method for Winning at Lotteries

Number of pages: 31 Posted: 15 Jul 2017 Last Revised: 02 Dec 2021
Steven Moffitt and William T. Ziemba
Stuart School of Business, Illinois Institute of Technology and University of British Columbia (UBC) - Sauder School of Business
Downloads 621 (91,278)
Citation 1

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Lottery, Nash Equilibrium, Gambling, Optimal Betting Strategies, Efficiency, Parimutuel, Lotto, Trump Ticket

18.

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Number of pages: 112 Posted: 22 Jul 2013 Last Revised: 05 May 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 607 (93,956)
Citation 3

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stock market corrections, bond-stock earnings yield model, FED model, price earnings ratio, Campbell and Shiller model

19.

Is 1/n Really Better than Optimal Mean-Variance Portfolio?

Number of pages: 23 Posted: 25 Nov 2014
Woo Chang Kim, Yongjae Lee and William T. Ziemba
Korea Advanced Institute of Science and Technology (KAIST), UNIST and University of British Columbia (UBC) - Sauder School of Business
Downloads 585 (98,474)

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Equally-Weighted Portfolio, Optimal Mean-Variance Portfolio, Portfolio Performance Evaluation

20.

Some Historical Perspectives on the Bond-Stock Yield Model for Crash Prediction Around the World

Number of pages: 57 Posted: 17 Mar 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 581 (99,326)
Citation 4

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stock market crashes, BSEYD and Fed models, long term investing

21.

Response to Paul a Samuelson Letters and Papers on the Kelly Capital Growth Investment Strategy

Number of pages: 27 Posted: 13 Oct 2012
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 548 (106,852)
Citation 4

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capital growth, log utility, risk aversion, long run growth

22.

Changepoint Detection in the Cross-Section of Stock Returns

Number of pages: 39 Posted: 13 Apr 2023
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 508 (117,610)

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changepoint methods, unsupervised machine learning, empirical asset pricing, Fama-French five-factor model, heteroskedasticity, GARCH

23.

Empirical Bayes Estimation with Dynamic Portfolio Models

Sauder School of Business Working Paper
Number of pages: 29 Posted: 21 Sep 2004
Leonard MacLean, Michael E. Foster and William T. Ziemba
Dalhousie University - School of Business Administration, Dalhousie University - School of Business Administration and University of British Columbia (UBC) - Sauder School of Business
Downloads 466 (130,111)
Citation 4

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24.

A Tale of Two Indexes: Predicting Equity Market Downturns in China

Number of pages: 71 Posted: 05 Dec 2015 Last Revised: 18 Dec 2020
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 458 (132,877)
Citation 1

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stock market corrections and crashes, Shanghai Stock Exchange, Shenzhen Stock Exchange, Bond-Stock Earnings Yield Differential (BSEYD), Price-to-Earnings ratio, Cyclically-Adjusted Price Earnings ratio (CAPE).

25.

William T Ziemba's Contributions to Portfolio Theory and Practice

Number of pages: 26 Posted: 25 Oct 2019
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 429 (143,985)

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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

26.

Parimutuel Betting Markets: Racetracks and Lotteries Revisited

Number of pages: 55 Posted: 15 Jun 2021 Last Revised: 21 Dec 2021
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 411 (150,871)
Citation 4

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stochastic programming optimization models, parimutuel betting markets, efficiency of racetrack betting markets, lottery strategies, favorite-longshot bias

27.

The Five Investor Camps That Try to Beat the Stock Market

Number of pages: 12 Posted: 29 Oct 2019
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 408 (152,160)

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efficient and inefficient markets, risk premium, Samuelson’s superior investors, Buffet’s investment approach, superior investors approaches and techniques, effect of parameter errors on optimal investment choice, Kelly, fractional Kelly optimization

28.

Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.

Number of pages: 54 Posted: 16 Nov 2020
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 389 (161,473)
Citation 2

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

29.

How to Lose Money in the Financial Markets: Examples from the Recent Financial Crisis

Number of pages: 27 Posted: 10 Aug 2014
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 383 (163,397)
Citation 3

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hedge fund trading disasters, over betting, rogue traders, 2007-2009 financial crisis, subprimes

30.

Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market

Number of pages: 12 Posted: 29 Oct 2019
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 341 (185,686)

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arbitrage, risk arbitrage, betting exchanges, hedge fund strategies, Nikkei put warrants, Nikkei call warrants, Japanese land and stock prices

31.

Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013

Number of pages: 57 Posted: 28 Oct 2013
A.N. Shiryaev, Mikhail Zhitlukhin and William T. Ziemba
Steklov Mathematical Institute, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business
Downloads 338 (187,403)
Citation 1

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bubble, disorder model, change point detection, bond-stock model, Nikkei Stock Average, golf course membership index

32.

Non Predictable Stock Market Declines

Number of pages: 14 Posted: 24 Jan 2016
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business
Downloads 334 (189,813)

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mini crashes, 10% corrections

33.

Weak Interest Rate Parity and Currency Portfolio Diversification

Number of pages: 60 Posted: 16 Mar 2006
Leonard MacLean, Yonggan Zhao and William T. Ziemba
Dalhousie University - School of Business Administration, Nanyang Technological University and University of British Columbia (UBC) - Sauder School of Business
Downloads 325 (195,387)

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Exchange Rate Dynamic, Currency Portfolio, Regime Switching

34.

Currency Regimes and Weak Interest Rate Parity

Number of pages: 26 Posted: 16 Jun 2008 Last Revised: 14 Mar 2010
Leonard MacLean, Yonggan Zhao and William T. Ziemba
Dalhousie University - School of Business Administration, Dalhousie University - Rowe School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 291 (219,762)
Citation 1

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Regime, Switching, Weak Interest Rate Parity

35.

Does It Pay to Buy the Pot in the Canadian 6/49 Lottery? Implications for Lottery Design

Number of pages: 27 Posted: 02 Feb 2017 Last Revised: 10 May 2018
Steven Moffitt and William T. Ziemba
Stuart School of Business, Illinois Institute of Technology and University of British Columbia (UBC) - Sauder School of Business
Downloads 256 (250,526)

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Lottery, Lottery Design, Gambling, Market Efficiency

36.

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?

Number of pages: 35 Posted: 08 Jul 2015
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 253 (253,594)
Citation 2

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Swiss franc, euro peg, black swans, currency trading losses, swiss exports, quantitative easing, negative interest rates

37.

An Endogenous Volatility Approach to Pricing and Hedging Call Options with Transaction Costs

Number of pages: 23 Posted: 02 Oct 2009
Leonard MacLean, Yonggan Zhao and William T. Ziemba
Dalhousie University - School of Business Administration, Dalhousie University - Rowe School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 223 (286,772)

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38.

Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.'

Number of pages: 46 Posted: 11 Dec 2020
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 163 (381,615)

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changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

39.

Online Appendix for Changepoint Detection in the Cross-Section of Stock Returns A Tutorial on Changepoint Detection Methodologies

Number of pages: 26 Posted: 13 Apr 2023
Sebastien Lleo, William T. Ziemba and Jessica Li
NEOMA Business School, University of British Columbia (UBC) - Sauder School of Business and Neoma Business School
Downloads 96 (573,445)

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changepoint methods, unsupervised machine learning

40.

Online Appendix for "Crash Prediction Using Fundamental Variables: Evidence From Mainland China"

Number of pages: 22 Posted: 15 Jun 2023
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 56 (770,136)

Abstract:

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stock market crashes and corrections, Shanghai Stock Exchange, Shenzhen Stock Exchange, Bond-Stock Earnings Yield Differential (BSEYD), Price-to-Earnings ratio, Cyclically-Adjusted Price Earnings ratio (CAPE).

41.

Pari-Mutuel Betting Markets: Racetracks and Lotteries Revisited

Annual Review of Financial Economics, Vol. 15, pp. 641-662, 2023
Posted: 07 Nov 2023
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business

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42.

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

The Journal of Portfolio Management, November 2022, 49 (1) 172-197 DOI: 10.3905/jpm.2022.1.429
Posted: 08 Jul 2021
Sebastien Lleo, Mikhail Zhitlukhin and William T. Ziemba
NEOMA Business School, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business

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mean changing model, stochastic processes, Apple Computer stock, trend following strategies, bubble asset price exits, stock market crashes, errors in mean estimates, portfolio optimization, Covid-19 2020 era

43.

Great Investors: Their Methods, Results and Evaluation

Posted: 16 Jan 2012 Last Revised: 06 Jul 2012
Olivier Gergaud and William T. Ziemba
Kedge - Bordeaux Business School and University of British Columbia (UBC) - Sauder School of Business

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44.

Investing in the Turn-of-the-Year Effect

Financial Markets and Portfolio Management, Vol. 25, No. 4, pp. 455-472, 2011
Posted: 07 Dec 2011
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business

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January effect, turn-of-the-year effect, futures trading

45.

The Kelly Capital Growth Investment Criterion: Theory and Practice

WORLD SCIENTIFIC HANDBOOK IN FINANCIAL ECONOMIC SERIES, Vol. 3, 2011
Posted: 20 Apr 2011
Leonard MacLean, Edward O. Thorp and William T. Ziemba
Dalhousie University - School of Business Administration, University of California, Irvine and University of British Columbia (UBC) - Sauder School of Business

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Kelly Criterion, Dynamic Investment Analysis, Capital Growth Theory, Sports Betting, Hedge Fund Strategies, Speculative Investing, Fortune's Formula

46.

Is the 60-40 Stock-Bond Pension Fund Rule Wise?

Posted: 03 Apr 2011
William T. Ziemba
University of British Columbia (UBC) - Sauder School of Business

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small cap, election cycle, 60-40 rule

47.

'Preface to' Stochastic Optimization Models in Finance (2006 Edition)

Stochastic Optimization Models in Finance, 2006 Edition
Posted: 02 Oct 2009
William T. Ziemba and Raymond Vickson
University of British Columbia (UBC) - Sauder School of Business and University of Waterloo - Department of Management Sciences

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Stochastics, Stochastic Optimization Models, Finance