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

44

DOWNLOADS
Rank 2,383

SSRN RANKINGS

Top 2,383

in Total Papers Downloads

16,700

SSRN CITATIONS
Rank 10,756

SSRN RANKINGS

Top 10,756

in Total Papers Citations

50

CROSSREF CITATIONS

61

Scholarly Papers (44)

Actions:
Email selected abstracts
1.

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 1,621 (12,430)
Citation 1

Abstract:

Loading...

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

2.

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 1,162 (20,765)
Citation 11

Abstract:

Loading...

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

3.

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 1,147 (21,169)
Citation 3

Abstract:

Loading...

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

4.

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 1,083 (23,103)
Citation 6

Abstract:

Loading...

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

5.

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 944 (28,139)
Citation 4

Abstract:

Loading...

Crashes, Efficient capital markets

6.

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 897 (30,316)
Citation 6

Abstract:

Loading...

7.

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 849 (32,701)
Citation 3

Abstract:

Loading...

Halloween indicator, small and large cap returns, portfolio management

8.

Incentives and Risk Taking in Hedge Funds

Downloads 781 ( 36,669)

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 781 (36,126)
Citation 16

Abstract:

Loading...

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

Abstract:

Loading...

Hedge funds, Incentive fees, Optimal portfolio choice

9.

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 562 (56,630)
Citation 3

Abstract:

Loading...

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

10.

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 549 (58,371)
Citation 4

Abstract:

Loading...

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

11.

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 545 (58,908)

Abstract:

Loading...

Risk Neutral Probabilities, Dynamic Investment Model, Multiperiod Stochastic Programming

12.

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

Number of pages: 63 Posted: 12 Jul 2011 Last Revised: 18 Mar 2012
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 531 (60,847)
Citation 2

Abstract:

Loading...

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

13.

Is the January Effect Still Alive in the Futures Markets?

Downloads 521 ( 62,333)
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 521 (61,651)
Citation 2

Abstract:

Loading...

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

Abstract:

Loading...

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 514 (63,375)
Citation 1

Abstract:

Loading...

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

15.

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 490 (67,253)
Citation 2

Abstract:

Loading...

Cointegration analysis, Vector equilibrium correction, VAR, Stock markets

16.

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 453 (74,097)
Citation 3

Abstract:

Loading...

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

17.

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 391 (88,323)
Citation 3

Abstract:

Loading...

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

18.

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 372 (93,340)

Abstract:

Loading...

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

19.

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 339 (103,697)
Citation 2

Abstract:

Loading...

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

20.

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 339 (103,697)
Citation 4

Abstract:

Loading...

21.

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 322 (109,799)

Abstract:

Loading...

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).

22.

A Method for Winning at Lotteries

Number of pages: 22 Posted: 15 Jul 2017 Last Revised: 26 Jan 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 291 (122,369)
Citation 1

Abstract:

Loading...

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

23.

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 227 (157,115)

Abstract:

Loading...

Exchange Rate Dynamic, Currency Portfolio, Regime Switching

24.

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 217 (164,021)
Citation 4

Abstract:

Loading...

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

25.

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 195 (181,219)
Citation 1

Abstract:

Loading...

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

26.

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 191 (185,461)

Abstract:

Loading...

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

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 173 (201,469)

Abstract:

Loading...

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.

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 169 (205,650)
Citation 1

Abstract:

Loading...

Regime, Switching, Weak Interest Rate Parity

29.

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 162 (213,064)

Abstract:

Loading...

mini crashes, 10% corrections

30.

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 155 (221,163)

Abstract:

Loading...

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

31.

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 138 (243,121)
Citation 2

Abstract:

Loading...

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

32.

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 124 (263,984)

Abstract:

Loading...

33.

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 70 (380,326)

Abstract:

Loading...

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

34.

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 65 (395,581)

Abstract:

Loading...

Lottery, Lottery Design, Gambling, Market Efficiency

35.

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 61 (408,451)

Abstract:

Loading...

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

36.

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 29 (544,328)

Abstract:

Loading...

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

37.

A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome

Number of pages: 21 Posted: 03 Oct 2003
Yonggan Zhao, Ulrich Haussmann and William T. Ziemba
Nanyang Technological University, affiliation not provided to SSRN and University of British Columbia (UBC) - Sauder School of Business
Downloads 19 (607,636)
  • Add to Cart

Abstract:

Loading...

38.

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

Financial Markets, Institutions & Instruments, Vol. 26, Issue 2, pp. 61-123, 2017
Number of pages: 63 Posted: 13 Apr 2017
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 2 (733,003)
  • Add to Cart

Abstract:

Loading...

stock market crashes, bond‐stock earnings yield mode, Fed model, price‐earnings‐ratio

39.

When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model

https://doi.org/10.3905/jpm.2014.40.2.054
Posted: 21 May 2019
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

Abstract:

Loading...

bubbles, Soros trading, Apple Computer Inc., NASDAQ 100

40.

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

Abstract:

Loading...

41.

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

Abstract:

Loading...

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

42.

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

Abstract:

Loading...

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

43.

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

Abstract:

Loading...

small cap, election cycle, 60-40 rule

44.

'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

Abstract:

Loading...

Stochastics, Stochastic Optimization Models, Finance