… simplified it can be solved in less than 1 second of CPU time.lo A discussion of the generalized
concavity properties of (6) will appear in a forthcoming paper by Kallberg and Ziemba. …

… 50, errors in means are about eleven times as important as errors in variances, a result
similar to that of Kallberg & Ziemba. Errors in variances are about twice as important as errors in …

… The asymptotic validity of quadratic utility as the trading interval approaches zero, in: WT
Ziemba and RG Vickson (eds.), Stochastic Optimization Models in Finance, Academic Press, …

… Thorp and Ziemba actually made this place and show bet and won with a low fractional
Kelly wager. Slew finished third but the second place horse Gate Dancer was disqualified and …

Frank Russell Company and The Yasuda Fire and Marine Insurance Co., Ltd., developed an
asset/liability management model using multistage stochastic programming. It determines …

… and Ziemba [13]) as well as in numerical integration. The classic lower bound, Jensen's
inequality [11], is based on bounding the expectation of 4» by the expectation of its linear …

… This is consistent with the Ziemba and Hausch (1987) results suggesting inefficiencies in …
Hausch and Ziemba (1987) have developed an optimal betting model for cross track betting …

… The Kusy-Ziemba model allows constraint violations via penalty costs in the objective. Buhler
and Gehring (1978), Cohen and Thore (1970), Crane (1971), and Booth (1972) built very …

… A more detailed discussion of many of the issues in this section appears in Clark and
Ziemba ( 1987), which was updated by Van der Cruyssen and Ziemba ( 1992a, b).I …

The underlying theme of this volume is how to invest assets over time to achieve satisfactory
returns subject to uncertainties, various constraints and liability commitments. Most investors…