Selected Works of William T. Ziemba: A Memorial Volume

Contents
Preface
Reflections on a Life of a Renaissance Academic
Testimonials
About the Editors
Acknowledgments
Introduction
Chapter 1 An Overview of the Research of William T. Ziemba
	1 Academic Profile — William T. Ziemba, PhD
	2 Stochastic Programming
		SP Publications (Selected Papers in Bold)
	3 Finance and Economics
		F&E Publications (Selected Papers in Bold)
	4 Asset and Liability Management
		ALM Publications (Selected Papers in Bold)
	5 Kelly Optimal Growth
		Kelly Publications (Selected Papers in Bold)
	6 Sports Betting and Analytics
		Sports Publications (Selected Papers in Bold)
	7 Market Anomalies and Crashes
		Anomalies and Crashes Publications (Selected Papers in Bold)
	8 Conclusion
Section I Stochastic Programming
	Chapter 2 Solving Nonlinear Programming Problems with Stochastic Objective Functions
		I. Introduction
		II. Basic Algorithmic Modifications
		III. Related Simple Recourse Problems
		IV. Solution Method via SUMT
		V. Example: Portfolio Selection
		VI. Solution Method of the Portfolio Problem via Generalized Programming
		VII. Some Remarks
		REFERENCES
	Chapter 3 Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
		1. JENSEN\'S LOWER BOUND AND ITS GENERALIZATION
		2. THE EDMUNDSON-MADANSKY UPPER BOUND AND ITS GENERALIZATION
		3. GENERALIZATIONS AND DISCUSSION
		4. APPLICATIONS
		ACKNOWLEDGMENTS
		REFERENCES
	Chapter 4 Bounds for Two-Stage Stochastic Programs with Fixed Recourse
		1. Introduction
			1.1. Bounds using moment problems
		2. Bounds for the expectation of the recourse function
			2.1. Tight bounds using first and cross moments
			2.2. Convexity of the bounds
			2.3. Relation to generalized moment problems
		3. First moment bounds—dependent case
		4. Application to stochastic programming
		5. Concluding remarks
		Acknowledgements
		References
Section II Finance and Economics
	Chapter 5 Portfolio Selection in a Lognormal Market When the Investor has a Power Utility Function
		I. Introduction and Summary
		II. The Portfolio and Surrogate Problems
		III. Comparing S with Quadratic Approximations
		IV. Solving the Surrogate Problem
		REFERENCES
	Chapter 6 Comparison of Alternative Utility Functions in Portfolio Selection Problems
		1. Introduction
		2. The Portfolio Problem
		3. Rubinstein\'s Risk Aversion Measure and Characterization of Optimal Portfolios
		4. Empirical Results
		Appendix: Optimality of Rubinstein\'s Risk Aversion Measure
		References
	Chapter 7 The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
		THEORY
		DATA AND METHODOLOGY
		RESULTS
		IMPLICATIONS AND CONCLUSIONS
		ENDNOTES
		REFERENCES
	Chapter 8 A Dynamic Investment Model with Control on the Portfolio’s Worst Case Outcome
		1. INTRODUCTION
		2. ASSET PRICE MODEL AND WEALTH PROCESS
		3. MODEL FORMULATION AND SOLUTION
			3.1. Model Formulation
			3.2. Model Solution
		4. OPTION STRATEGY INTERPRETATION
		5. HARA UTILITY AND GBM PRICES
		6. CONCLUDING REMARKS
		APPENDIX
		REFERENCES
Section III Asset and Liability Management
	Chapter 9 A Bank Asset and Liability Management Model
		2. Stochastic Linear Programs with Simple Recourse
		3. Formulation of the ALM Model
			3.1. Notation for the ALM Model
			3.2. The ALM Model
			3.3. Data Required to Implement the ALM Model
		4. Application of ALM to the Vancouver City Savings Credit Union
			4.1. Model Details
				4.1.1. Legal Constraints
				4.1.2. Budget Constraints
				4.1.3. Liquidity Constraints
				4.1.4. Policy Constraints
				4.1.5. Deposit Flows
				4.1.6. Objective Function
			4.2. Results of the VCS Application
		5. Comparison of the ALM and SOT Approaches
			5.1. The Bradley–Crane Stochastic Decision Tree Model (SOT)
			5.2. The Economic Scenarios
			5.3. Formulations of the Stochastic Dynamic Programming Model
			5.4. Formulations of the ALM Model
			5.5. Results of the Simulation
		6. Final Remarks
		Acknowledgment
		References
	Chapter 10 Formulation of the Russell–Yasuda Kasai Financial Planning Model
		1. OVERVIEW OF YASUDA KASAl\'S PROBLEM
		2. BACKGROUND ON MULTISTAGE STOCHASTIC LINEAR PROGRAMMING AND FINANCIAL PLANNING MODELS
		3. FORMULATING THE RUSSELL-YASUDA KASAl MODEL AS A MULTISTAGE STOCHASTIC LINEAR PROGRAM
		4. ALLOCATION CONSTRAINTS
		5. THE LOAN MODEL
		6. THE LIABILITY MODEL
		7. THE FLOW OF FUNDS MODEL
		8. FINAL REMARKS
		ACKNOWLEDGMENTS
		REFERENCES
	Chapter 11 Concepts, Technical Issues, and Uses of the Russell–Yasuda Kasai Financial Planning Model
		1. SCENARIO GENERATION
		2. END EFFECTS
		3. COMPUTATIONS
		4. COMPARISON TO MEAN VARIANCE
		5. EXPERIENCE AND BENEFITS OF THE MODEL
		6. SUMMARY OF BENEFITS OF THE RY MODEL
		ACKNOWLEDGMENT
		REFERENCES
	Chapter 12 The Innovest Austrian Pension Fund Financial Planning Model InnoALM
		Introduction
		1. The Pension Fund Situation in Austria and Europe
		2. Formulating the lnnoALM as a Multistage Stochastic Linear Programming Model
		3. Scenario Generation and Statistical Inputs
		4. Implementation and Sample Results
			4.1. Sample Application—Assumptions
			4.2. Sample Application—Results
			4.3. Model Tests
		5. Conclusions and Final Remarks
		Appendix. Pseudo-Code for Scenario Generation
		Acknowledgments
		References
Section IV Kelly Optimal Growth
	Chapter 13 Growth versus Security in Dynamic Investment Analysis
		1. The Basic Investment Problem
			1.1. Measures of Growth
			1.2. Measures of Security
		2. Computation of Measures
		3. Effective Growth-security Tradeoff
		4. Applications
			4.1. Blackjack : (ϕ, β)
			4.2. Horseracing: (μt, γt)
			4.3. Louo Games: (η, β)
			4.4. Playing the Turn of the Year Effect with Index Futures: (ϕ, β)
		References
	Chapter 14 Time to Wealth Goals in Capital Accumulation
		1. Introduction
		2. Dynamic estimation of asset price distributions
			2.1. Price model
			2.2. Bayes estimation
		3. Portfolio planning models
			3.1. Expected utility strategy with fixed rebalance times
			3.2. Wealth goals strategy and random rebalance times
			3.3. Wealth goals
		4. Comparisons
		5. Conclusion
		Acknowledgements
		Appendix A
		References
	Chapter 15 Long-Term Capital Growth: The Good and Bad Properties of the Kelly and Fractional Kelly Capital Growth Criteria
		The good properties
		Some bad properties
		Some observations
		Acknowledgements
		References
		Appendix A
Section V Sports Betting and Analytics
	Chapter 16 Efficiency of the Market for Racetrack Betting
		1. The Racetrack Market
		2. Previous Work on Racetrack Efficiency
		3. Proposed Test
		4. A Betting Model
		5. Making the System Operational
		6. Implementation and Reliability of the System
		References
	Chapter 17 Arbitrage Strategies for Cross-Track Betting on Major Horse Races
		I. Introduction
		II. Efficiency of the Various Betting Markets
		III. Inefficiency of the Win Market and the Risk-free Hedging Model
		IV. The Optimal Capital Growth Model
		V. Testing the One-Track Capital Growth Model
		VI. Final Discussion
		References
Section VI Market Crashes
	Chapter 18 Stock Market Crashes in 2007–2009: Were We Able to Predict Them?
		1. Background
		2. Moving average and signal chart
		3. The Chinese Shanghai stock market crash
		4. The Icelandic stock market crash
		5. The US 2007–2009 crash
		6. Logarithmic model
		7. Final remarks
		Acknowledgements
		References
	Chapter 19 Land and Stock Bubbles, Crashes and Exit Strategies in Japan Circa 1990 and in 2013
		1. Introduction
		2. Was the 1990 Japanese stock market crash predictable?
		3. The changepoint detection model for exit bubble-type markets
			3.1. The description of the model
			3.2. Application of the model to market data
		4. The Japanese stock market bubble
			4.1. Background
			4.2. Nikkei stock average in the 1980–1990s
		5. The Japanese golf course membership market
			5.1. Background
			5.2. Application of the changepoint detection method
		6. The overall Japanese land market, 1955–2013
		7. Applying the model to the Nikkei in 2013
		8. Short selling the Nikkei portfolio
		9. Conclusion
		Acknowledgements
		References
Appendix
	B — Selected Books, Published and in Progress
	J — Selected Published Journal Articles
	K — Selected Articles in Books
	P — Working Papers
Index