William T Ziemba's Contributions to Portfolio Theory and Practice

26 Pages Posted: 25 Oct 2019

See all articles by William T. Ziemba

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business; Systemic Risk Centre - LSE

Date Written: October 16, 2019

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

Suggested Citation

Ziemba, William T., William T Ziemba's Contributions to Portfolio Theory and Practice (October 16, 2019). Available at SSRN: https://ssrn.com/abstract=3470810 or http://dx.doi.org/10.2139/ssrn.3470810

William T. Ziemba (Contact Author)

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

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)

HOME PAGE: http://williamtziemba.com

Systemic Risk Centre - LSE ( email )

Houghton St, London WC2A 2AE, United Kingdom

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