-
1
-
-
0000801141
-
Asymptotic optimality and asymptotic equipartiation properties of log-optimum investment
-
Algoet, P.H. and Cover, T.M., Asymptotic optimality and asymptotic equipartiation properties of log-optimum investment. Annals of Probability, 1988, 16, 876-898.
-
(1988)
Annals of Probability
, vol.16
, pp. 876-898
-
-
Algoet, P.H.1
Cover, T.M.2
-
2
-
-
0033412999
-
Coherent measures of risk
-
Artzner, P., Delbaen, F., Eber, J. and Heath, D., Coherent measures of risk. Mathematical Finance, 1999, 9, 203-228.
-
(1999)
Mathematical Finance
, vol.9
, pp. 203-228
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.3
Heath, D.4
-
4
-
-
0035592442
-
Value at Risk based risk management: Optimal policies and asset prices
-
Basak, S. and Shapiro, A., Value at Risk based risk management: optimal policies and asset prices. Review of Financial Studies, 2001, 14, 371-405.
-
(2001)
Review of Financial Studies
, vol.14
, pp. 371-405
-
-
Basak, S.1
Shapiro, A.2
-
5
-
-
0000436394
-
Investment policies for expanding business optimal in a long-run sense
-
Breiman, L., Investment policies for expanding business optimal in a long-run sense. Naval Research Logistics Quarterly, 1960, 7, 647-651.
-
(1960)
Naval Research Logistics Quarterly
, vol.7
, pp. 647-651
-
-
Breiman, L.1
-
6
-
-
0002522795
-
Optimal gambling systems for favorable games
-
Breiman, L., Optimal gambling systems for favorable games, in Proceedings of the 4th Berkeley Symposium on Mathematics, Statistics and Probability, Vol. 1, 1961, pp. 63-68.
-
(1961)
Proceedings of the 4th Berkeley Symposium on Mathematics, Statistics and Probability
, vol.1
, pp. 63-68
-
-
Breiman, L.1
-
7
-
-
26644468760
-
Learing from poverty measurement: An axiomatic approach to measure downside risk
-
University of Muenster, Germany
-
Breitmeyer, C., Hakenes, H., Pfingsten, A. and Rechtien, C., Learing from poverty measurement: an axiomatic approach to measure downside risk. Working Paper, University of Muenster, Germany, 1999.
-
(1999)
Working Paper
-
-
Breitmeyer, C.1
Hakenes, H.2
Pfingsten, A.3
Rechtien, C.4
-
8
-
-
0000271564
-
The role of learning in dynamic portfolio decisions
-
Brennan, M.J., The role of learning in dynamic portfolio decisions. European Finance Review, 1998, I, 295-306.
-
(1998)
European Finance Review
, vol.1
, pp. 295-306
-
-
Brennan, M.J.1
-
9
-
-
0042661526
-
Portfolio choice and the Bayesian Kelly criterion
-
Browne, S. and Whitt, W., Portfolio choice and the Bayesian Kelly criterion. Advances in Applied Probability, 1996, 28, 1145-1176.
-
(1996)
Advances in Applied Probability
, vol.28
, pp. 1145-1176
-
-
Browne, S.1
Whitt, W.2
-
10
-
-
84882484970
-
A mean-variance of first passage time approach to portfolio selection in a lognormal world
-
Vancouver, August
-
Burkhardt, T., A mean-variance of first passage time approach to portfolio selection in a lognormal world, in the VIII International Conference on Stochastic Programming, Vancouver, August, 1998.
-
(1998)
VIII International Conference on Stochastic Programming
-
-
Burkhardt, T.1
-
11
-
-
84890656542
-
-
Princeton University Press: Princeton, NJ
-
Campbell, J., Lo, A. and MacKinlay, C., The Econometrics of Financial Markets, 1997 (Princeton University Press: Princeton, NJ).
-
(1997)
The Econometrics of Financial Markets
-
-
Campbell, J.1
Lo, A.2
MacKinlay, C.3
-
12
-
-
0032115358
-
Formulation of the Russell Yasuda Kasai financial planning model
-
Carino, D.R. and Ziemba, W.T., Formulation of the Russell Yasuda Kasai Financial Planning Model. Operations Research, 1998, 46, 450-462.
-
(1998)
Operations Research
, vol.46
, pp. 450-462
-
-
Carino, D.R.1
Ziemba, W.T.2
-
13
-
-
2042499464
-
The effect of errors in means, variances, and covariances on optimal portfolio choice
-
Chopra, V.K. and Ziemba, W.T., The effect of errors in means, variances, and covariances on optimal portfolio choice. Journal of Portfolio Management, 1993, 19, 6-11.
-
(1993)
Journal of Portfolio Management
, vol.19
, pp. 6-11
-
-
Chopra, V.K.1
Ziemba, W.T.2
-
14
-
-
0023454568
-
Playing the turn-of-the-year effect with index futures
-
Clark, R. and Ziemba, W.T., Playing the turn-of-the-year effect with index futures. Operations Research, 1987, 35, 799-813.
-
(1987)
Operations Research
, vol.35
, pp. 799-813
-
-
Clark, R.1
Ziemba, W.T.2
-
15
-
-
26644461849
-
Value-at-risk in portfolio optimization: Properties and computational approach
-
Gaivoronski, A. and Pflug, G., Value-at-risk in portfolio optimization: properties and computational approach. Journal of Risk, 2005, 7(2), 1-31.
-
(2005)
Journal of Risk
, vol.7
, Issue.2
, pp. 1-31
-
-
Gaivoronski, A.1
Pflug, G.2
-
16
-
-
0000893715
-
A half century of returns on levered and unlevered portfolios of stocks, bonds and bills, with and without small stocks
-
Grauer, R.R. and Hakansson, N.H., A half century of returns on levered and unlevered portfolios of stocks, bonds and bills, with and without small stocks. Journal of Business, 1986, 59, 287-318.
-
(1986)
Journal of Business
, vol.59
, pp. 287-318
-
-
Grauer, R.R.1
Hakansson, N.H.2
-
17
-
-
84977728443
-
Gains from international diversification: 1968-85 returns on portfolios of stocks and bonds
-
Grauer, R.R. and Hakansson, N.H., Gains from international diversification: 1968-85 returns on portfolios of stocks and bonds. Journal of Finance, 1987, 42, 721-739.
-
(1987)
Journal of Finance
, vol.42
, pp. 721-739
-
-
Grauer, R.R.1
Hakansson, N.H.2
-
18
-
-
0000592568
-
Optimal investment and consumption strategies under risk for a class of utility functions
-
Hakansson, N.H., Optimal investment and consumption strategies under risk for a class of utility functions. Econometrica, 1970, 38, 587-607.
-
(1970)
Econometrica
, vol.38
, pp. 587-607
-
-
Hakansson, N.H.1
-
19
-
-
84971736933
-
Capital growth and the mean-variance approach to portfolio selection
-
Hakansson, N.H., Capital growth and the mean-variance approach to portfolio selection. Journal of Financial and Quantitative Analysis, 1971, 6, 517-557.
-
(1971)
Journal of Financial and Quantitative Analysis
, vol.6
, pp. 517-557
-
-
Hakansson, N.H.1
-
20
-
-
77957045962
-
Capital growth theory
-
edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba, (North-Holland: Amsterdam)
-
Hakansson, N.H. and Ziemba, W.T., Capital growth theory. In Finance, edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba, pp. 65-86, 1995 (North-Holland: Amsterdam).
-
(1995)
Finance
, pp. 65-86
-
-
Hakansson, N.H.1
Ziemba, W.T.2
-
21
-
-
0022044652
-
Transactions costs, extent of inefficiencies, entries and multiple wagers in a racetrack betting model
-
Hausch, D.B. and Ziemba, W.T., Transactions costs, extent of inefficiencies, entries and multiple wagers in a racetrack betting model. Management Science, 1985, 31, 381-392.
-
(1985)
Management Science
, vol.31
, pp. 381-392
-
-
Hausch, D.B.1
Ziemba, W.T.2
-
22
-
-
0000555214
-
Efficiency of the market for racetrack betting
-
Hausch, D.B. Ziemba, W.T. and Rubinstein, M., Efficiency of the market for racetrack betting. Management Science, 1981, 27, 1435-1452.
-
(1981)
Management Science
, vol.27
, pp. 1435-1452
-
-
Hausch, D.B.1
Ziemba, W.T.2
Rubinstein, M.3
-
25
-
-
0000624306
-
Comparison of alternative utility functions in portfolio selection problems
-
Kallberg, J.G. and Ziemba, W.T., Comparison of alternative utility functions in portfolio selection problems. Management Science, 1983, 29, 1257-1276.
-
(1983)
Management Science
, vol.29
, pp. 1257-1276
-
-
Kallberg, J.G.1
Ziemba, W.T.2
-
27
-
-
0000733254
-
A new interpretation of information rate
-
Kelly, J., A new interpretation of information rate. Bell System Technology Journal, 1956, 35, 917-926.
-
(1956)
Bell System Technology Journal
, vol.35
, pp. 917-926
-
-
Kelly, J.1
-
29
-
-
0142139190
-
Capital growth with security
-
MacLean, L.C., Sanegre, R., Zhao, Y. and Ziemba, W.T., Capital growth with security. Journal of Economic Dynamics and Control, 2004, 28, 937-954.
-
(2004)
Journal of Economic Dynamics and Control
, vol.28
, pp. 937-954
-
-
MacLean, L.C.1
Sanegre, R.2
Zhao, Y.3
Ziemba, W.T.4
-
30
-
-
0005100971
-
Estimating multivariate random effects without replication
-
MacLean, L.C. and Weldon, K.L., Estimating multivariate random effects without replication. Commun. Statist. Theory Meth., 1996, 24, 1447-1469.
-
(1996)
Commun. Statist. Theory Meth.
, vol.24
, pp. 1447-1469
-
-
MacLean, L.C.1
Weldon, K.L.2
-
31
-
-
0033420911
-
Growth versus security tradeoffs in dynamic investment analysis
-
MacLean, L.C. and Ziemba, W.T., Growth versus security tradeoffs in dynamic investment analysis. Annals of Operations Research, 1999, 85, 193-225.
-
(1999)
Annals of Operations Research
, vol.85
, pp. 193-225
-
-
MacLean, L.C.1
Ziemba, W.T.2
-
32
-
-
0001115234
-
Growth versus security in dynamic investment analysis
-
MacLean, L.C., Ziemba, W.T. and Blazenko, G., Growth versus security in dynamic investment analysis. Management Science, 1992, 38, 1562-1585.
-
(1992)
Management Science
, vol.38
, pp. 1562-1585
-
-
MacLean, L.C.1
Ziemba, W.T.2
Blazenko, G.3
-
34
-
-
0000914224
-
Investment for the long run: New evidence for an old rule
-
Markowitz, H.M., Investment for the long run: new evidence for an old rule. Journal of Finance, 1976, 31, 1273-1286.
-
(1976)
Journal of Finance
, vol.31
, pp. 1273-1286
-
-
Markowitz, H.M.1
-
37
-
-
0000114960
-
Stochastic network programming for financial planning problems
-
Mulvey, J.M. and Vladimirou, H., Stochastic network programming for financial planning problems. Management Science, 1992, 38, 1642-1664.
-
(1992)
Management Science
, vol.38
, pp. 1642-1664
-
-
Mulvey, J.M.1
Vladimirou, H.2
-
38
-
-
0037288552
-
Dual stochastic dominance and related mean risk models
-
Ogryczak, W. and Ruszczynski, A., Dual stochastic dominance and related mean risk models. SIAM Journal on Optimization, 2002, 13, 60-78.
-
(2002)
SIAM Journal on Optimization
, vol.13
, pp. 60-78
-
-
Ogryczak, W.1
Ruszczynski, A.2
-
39
-
-
0001579697
-
Risk aversion in the small and in the large
-
Pratt, J.W., Risk aversion in the small and in the large. Econometrica, 1964, 32, 122-136.
-
(1964)
Econometrica
, vol.32
, pp. 122-136
-
-
Pratt, J.W.1
-
40
-
-
0002062038
-
Optimization of conditional value-at-risk
-
Rockafeller, R.T. and Uryasev, S., Optimization of conditional value-at-risk. Journal of Risk, 2000, 2, 21-41.
-
(2000)
Journal of Risk
, vol.2
, pp. 21-41
-
-
Rockafeller, R.T.1
Uryasev, S.2
-
41
-
-
26644453167
-
Modified risk measures and acceptance sets
-
University of British Columbia
-
Rockafeller, R.T. and Ziemba, W., Modified risk measures and acceptance sets. Mimeo. University of British Columbia, 2000.
-
(2000)
Mimeo
-
-
Rockafeller, R.T.1
Ziemba, W.2
-
42
-
-
0010649846
-
The relaxed investor and parameter uncertainty
-
Rogers, L.C.G., The relaxed investor and parameter uncertainty. Finance and Stochastics, 2000, 5, 131-154.
-
(2000)
Finance and Stochastics
, vol.5
, pp. 131-154
-
-
Rogers, L.C.G.1
-
43
-
-
85115977930
-
Portfolio choice and the Kelly criterion
-
edited by W.T. Ziemba and R.G. Vickson, (Academic Press: New York)
-
Thorp, E.O., Portfolio choice and the Kelly criterion. In Stochastic Optimization Models in Finance, edited by W.T. Ziemba and R.G. Vickson, pp. 599-619, 1975 (Academic Press: New York).
-
(1975)
Stochastic Optimization Models in Finance
, pp. 599-619
-
-
Thorp, E.O.1
-
44
-
-
0039107366
-
Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation
-
Xia, Y., Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation. Journal of Finance, 2001, 56, 205-246.
-
(2001)
Journal of Finance
, vol.56
, pp. 205-246
-
-
Xia, Y.1
|